A stochastic quantization method for nonlinear problems

DOI10.1515/mcma.2001.7.1-2.21zbMath1035.65008OpenAlexW2050624780MaRDI QIDQ2724975

Gilles Pagès, Jacques Printems, Vlad Bally

Publication date: 2001

Published in: mcma (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2001.7.1-2.21

zbMATH Keywords

algorithmnumerical examplesoptimal stoppingAmerican option pricingerror boundsfree boundaryreflected backward stochastic differential equationquantization of random variablessnell envelopeAmerican exchange options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (18)

Numerical method for backward stochastic differential equations ⋮ Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers ⋮ Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options ⋮ Multi-asset American options and parallel quantization ⋮ Product Markovian quantization of a diffusion process with applications to finance ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis ⋮ Dynamic programming for mean-field type control ⋮ Limit theorems for random normalized distortion ⋮ Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering ⋮ Optimal quadratic quantization for numerics: the Gaussian case ⋮ New weak error bounds and expansions for optimal quantization ⋮ New approach to greedy vector quantization ⋮ Quantization goes polynomial ⋮ Error analysis of the optimal quantization algorithm for obstacle problems. ⋮ Asymptotics of optimal quantizers for some scalar distributions ⋮ Functional quantization of Gaussian processes ⋮ Optimal quantization methods for nonlinear filtering with discrete-time observations

This page was built for publication: A stochastic quantization method for nonlinear problems