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

algorithmAmerican exchange optionsAmerican option pricingerror boundsfree boundarynumerical examplesoptimal stoppingquantization of random variablesreflected backward stochastic differential equationsnell envelope

Mathematics Subject Classification ID

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

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

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