AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS (Q4659534)
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scientific article; zbMATH DE number 2147874
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS |
scientific article; zbMATH DE number 2147874 |
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AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS (English)
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21 March 2005
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stochastic differential equations
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stochastic control
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finite horizon
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dynamic programming
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Bellman equation
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PDEs with terminal condition
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numerical methods
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Markov chains
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Euler method
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\(L^p\)-error
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spatial discretization error
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optimal grids
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vector quantization
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stochastic gradient descent
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mean-variance hedging
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Monte Carlo simulation
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