Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems

Denis Belomestny, John Schoenmakers. Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems. SIAM J. Control and Optimization, 58(1):529-550, 2020. [doi]

Authors

Denis Belomestny

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John Schoenmakers

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