A stochastic quantization method for nonlinear problems.

DOI10.1515/MCMA.2001.7.1-2.21MaRDI QIDQ2724975zbMATH OpenOpenAlexFDO

Authors Gilles Pagès, Jacques Printems, Vlad Bally

Publication date 2001

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2001.7.1-2.21

zbMATH Keywords

error boundsnumerical examplesalgorithmfree boundaryoptimal stoppingreflected backward stochastic differential equationAmerican option pricingquantization of random variablessnell envelopeAmerican exchange options

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Quantization of stochastic volatility models: numerical tests and an open source implementation
• Asymptotics of optimal quantizers for some scalar distributions
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Optimal quadratic quantization for numerics: the Gaussian case
• Numerical method for backward stochastic differential equations
• Recent developments in machine learning methods for stochastic control and games
• Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
• Quantization goes polynomial
• Error analysis of the optimal quantization algorithm for obstacle problems.
• New weak error bounds and expansions for optimal quantization
• Dynamic programming for mean-field type control
• Functional quantization of Gaussian processes
• Numerical methods for backward stochastic differential equations: a survey
• New approach to greedy vector quantization
• First-Order Schemes in the Numerical Quantization Method
• Multi-asset American options and parallel quantization
• scientific article; zbMATH DE number 4068038 (Why is no real title available?)
• A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis
• The central limit theorem for a nonlinear algorithm based on quantization

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