Error analysis of the optimal quantization algorithm for obstacle problems.

DOI10.1016/S0304-4149(03)00026-7zbMath1075.60523OpenAlexW2073001881MaRDI QIDQ2574574

Gilles Pagès, Vlad Bally

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(03)00026-7

zbMATH Keywords

optimal stoppingAmerican option pricingreflected backward stochastic differential equationnumerical probabilitysnell envelopeoptimal quantization of random variables

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40)

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