Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process (Q4682490): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1304.2531 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A quantization algorithm for solving multidimensional discrete-time optimal stopping problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Quantization for the Pricing of Swing Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantization based recursive importance sampling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4271995 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Foundations of quantization for probability distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Unconstrained recursive importance sampling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional quantization rate and mean regularity of processes with an application to Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A space quantization method for numerical integration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introduction to vector quantization and its applications for numerics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal quantization methods for nonlinear filtering with discrete-time observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal quadratic quantization for numerics: the Gaussian case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional quantization for numerics with an application to option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing of barrier options by marginal functional quantization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Expansion of the global error for numerical schemes solving stochastic differential equations / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 15:46, 16 July 2024

scientific article; zbMATH DE number 6938635
Language Label Description Also known as
English
Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process
scientific article; zbMATH DE number 6938635

    Statements

    Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process (English)
    0 references
    0 references
    0 references
    18 September 2018
    0 references
    0 references
    0 references
    0 references
    0 references
    recursive marginal quantization
    0 references
    Euler scheme
    0 references
    local volatility
    0 references
    optimal quantization
    0 references
    0 references
    0 references