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Optimal quadratic quantization for numerics: the Gaussian case - MaRDI portal

Optimal quadratic quantization for numerics: the Gaussian case (Q4432548)

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scientific article; zbMATH DE number 1997228
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English
Optimal quadratic quantization for numerics: the Gaussian case
scientific article; zbMATH DE number 1997228

    Statements

    title
    Optimal quadratic quantization for numerics: the Gaussian case (English)
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    author
    Gilles Pagès
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    Jacques Printems
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    publication date
    27 October 2003
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    Mathematics Subject Classification ID
    65C60
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    65D32
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    62E17
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    91G60
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    zbMATH DE Number
    1997228
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    zbMATH Keywords
    optimal quantization
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    stochastic gradient methods
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    numericla integration
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    multi-asset American option pricing
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    Gaussian distribution
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    Newton method
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    numerical examples
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    mathematical finance
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    OpenAlex ID
    W1979253219
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