The central limit theorem for a nonlinear algorithm based on quantization

DOI10.1098/rspa.2003.1241zbMath1047.60064OpenAlexW2134094300MaRDI QIDQ3043432

Vlad Bally

Publication date: 6 August 2004

Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00071956/file/RR-4629.pdf

zbMATH Keywords

optimal stoppingAmerican optionscentral limit theoremsemilinear partial differential equationsnumerical probabilityquantization of random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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