A stochastic quantization method for nonlinear problems (Q2724975): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1515/mcma.2001.7.1-2.21 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2050624780 / rank | |||
Normal rank | |||
Latest revision as of 21:45, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic quantization method for nonlinear problems |
scientific article |
Statements
A stochastic quantization method for nonlinear problems (English)
0 references
2001
0 references
error bounds
0 references
numerical examples
0 references
optimal stopping
0 references
snell envelope
0 references
quantization of random variables
0 references
reflected backward stochastic differential equation
0 references
American option pricing
0 references
algorithm
0 references
free boundary
0 references
American exchange options
0 references
