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]
@article{BelomestnyS20,
title = {Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems},
author = {Denis Belomestny and John Schoenmakers},
year = {2020},
doi = {10.1137/18M1195590},
url = {https://doi.org/10.1137/18M1195590},
researchr = {https://researchr.org/publication/BelomestnyS20},
cites = {0},
citedby = {0},
journal = {SIAM J. Control and Optimization},
volume = {58},
number = {1},
pages = {529-550},
}