Error analysis of the optimal quantization algorithm for obstacle problems.
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Cites work
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Cited in
(53)- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- Numerical approximation of BSDEs using local polynomial drivers and branching processes
- Greedy vector quantization
- Functional quantization of Gaussian processes
- Energy contracts management by stochastic programming techniques
- A stability result for linear Markovian stochastic optimization problems
- Numerical approximation of singular forward-backward SDEs
- Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- Second order discretization of backward SDEs and simulation with the cubature method
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- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Pricing Asset Scheduling Flexibility using Optimal Switching
- A discrete-time approximation for doubly reflected BSDEs
- Time discretization and quantization methods for optimal multiple switching problem
- Probabilistic methods for semilinear partial differential equations. Applications to finance
- Deep backward schemes for high-dimensional nonlinear PDEs
- Numerical approximation of general Lipschitz BSDEs with branching processes
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- Discrete-type approximations for non-Markovian optimal stopping problems. I
- A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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- Quantization of stochastic volatility models: numerical tests and an open source implementation
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
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