Error analysis of the optimal quantization algorithm for obstacle problems. (Q2574574)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Error analysis of the optimal quantization algorithm for obstacle problems. |
scientific article |
Statements
Error analysis of the optimal quantization algorithm for obstacle problems. (English)
0 references
29 November 2005
0 references
numerical probability
0 references
optimal stopping
0 references
snell envelope
0 references
optimal quantization of random variables
0 references
reflected backward stochastic differential equation
0 references
American option pricing
0 references
0 references
