A stochastic quantization method for nonlinear problems (Q2724975)
From MaRDI portal
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