AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS

DOI10.1142/S0219493704001231zbMath1111.65006OpenAlexW2164694742MaRDI QIDQ4659534

Jacques Printems, Gilles Pagès, Huyên Pham

Publication date: 21 March 2005

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493704001231

zbMATH Keywords

dynamic programmingMarkov chainsBellman equationstochastic controlnumerical methodsstochastic differential equationsMonte Carlo simulationfinite horizonEuler methodvector quantizationstochastic gradient descentmean-variance hedgingspatial discretization erroroptimal grids\(L^p\)-errorPDEs with terminal condition

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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