Conditional Expectation expression in mean-field SDEs and its applications

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Authors: Samaneh Sojudi, Mahdieh Tahmasebi
Cited by: 0

Abstract

This study developed a novel formulation of conditional expectations within the framework of a jump-diffusion mean-field stochastic differential equation. We introduce an integrated approach that combines unconditioned expectations with rigorously defined weighting factors, employing Malliavin calculus on Poisson space and directional derivatives to enhance estimation accuracy. \noindent The proposed method is applied to the numerical pricing of American put options in a jump-diffusion mean-field setting, addressing the challenges proposed by early-exercise features. Comprehensive numerical experiments demonstrate substantial improvements in pricing accuracy compared with conventional techniques.

Fields of Study & Subjects

Stochastic processes and financial applications Fuzzy Systems and Optimization Risk and Portfolio Optimization

Publication details

Journal / source
arXiv (Cornell University)
Publication date
16 February 2026
Language
EN
Document type
Preprint