Time discretization and quantization methods for optimal multiple switching problem (Q424519): Difference between revisions

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+W2008997528
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+.5256
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+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
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+Error analysis of the optimal quantization algorithm for obstacle problems.
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+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
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+Pricing Asset Scheduling Flexibility using Optimal Switching
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+Discrete-time approximation of multidimensional BSDEs with oblique reflections
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+A Finite Horizon Optimal Multiple Switching Problem
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+On the Moments of the Modulus of Continuity of Itô Processes
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+On the Starting and Stopping Problem: Application in Reversible Investments
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+Switching problem and related system of reflected backward SDEs
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+Multi-dimensional BSDE with oblique reflection and optimal switching
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+Brownian optimal stopping and random walks
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+Functional quantization rate and mean regularity of processes with an application to Lévy processes
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+AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
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+Q3374068
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+Continuous-time stochastic control and optimization with financial applications
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+Publication:424519