Error analysis of the optimal quantization algorithm for obstacle problems.
type: Item
instance of: scholarly article
title: Error analysis of the optimal quantization algorithm for obstacle problems.
zbMATH Open document ID: 1075.60523
DOI: 10.1016/S0304-4149(03)00026-7
author: Vlad Bally
author: Gilles Pagès
published in: Stochastic Processes and their Applications
publication date: 2005-11-29T00:00:00Z
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C20
zbMATH DE Number: 2233766
zbMATH Keywords: numerical probability
zbMATH Keywords: optimal stopping
zbMATH Keywords: snell envelope
zbMATH Keywords: optimal quantization of random variables
zbMATH Keywords: reflected backward stochastic differential equation
zbMATH Keywords: American option pricing
MaRDI profile type: Publication
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full work available at URL: s0304-4149(03)00026-7
OpenAlex ID: W2073001881
description: scientific article