WIAS Preprint No. 2464, (2017)

Regression on particle systems connected to mean-field SDEs with applications


  • Belomestny, Denis
  • Schoenmakers, John G. M.
    ORCID: 0000-0002-4389-8266

2010 Mathematics Subject Classification

  • 60H10 60K35 62L15


  • McKean-Vlasov equations, optimal stopping, regression, Bellman principle




In this note we consider the problem of using regression on interacting particles to compute conditional expectations for McKean-Vlasov SDEs. We prove general result on convergence of linear regression algorithms and establish the corresponding rates of convergence. Application to optimal stopping and variance reduction are considered.

Appeared in

  • SIAM J. Control Optim., 58 (2020), pp. 529--550; changed title: Optimal stopping of McKean-Vlasov diffusions via regression on particle systems, DOI 10.1137/18M1195590 .

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