Optimal Stopping of McKean–Vlasov Diffusions via Regression on Particle Systems. Belomestny, D. & Schoenmakers, J. SIAM J. Control Optim., 58(1):529–550, 2020.
Paper doi bibtex 2 downloads @article {MR4068320,
AUTHOR = {Belomestny, Denis and Schoenmakers, John},
TITLE = {Optimal {S}topping of {M}c{K}ean--{V}lasov {D}iffusions via
{R}egression on {P}article {S}ystems},
JOURNAL = {SIAM J. Control Optim.},
FJOURNAL = {SIAM Journal on Control and Optimization},
VOLUME = {58},
YEAR = {2020},
NUMBER = {1},
PAGES = {529--550},
ISSN = {0363-0129},
MRCLASS = {60G40 (49L20 65C05 91G80)},
MRNUMBER = {4068320},
DOI = {10.1137/18M1195590},
URL = {https://doi.org/10.1137/18M1195590},
}
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