Provides non-asymptotic error bounds O(h^{1/4}) + O(M^{-γ}) for Euler discretization and interacting particle approximations of path-dependent MKV control, plus a neural policy-gradient method.
Compactification methods in the control of degenerate diffusions:
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Numerical Approximation for Path-Dependent McKean-Vlasov Control with Non-Asymptotic Error Estimates
Provides non-asymptotic error bounds O(h^{1/4}) + O(M^{-γ}) for Euler discretization and interacting particle approximations of path-dependent MKV control, plus a neural policy-gradient method.