A stochastic quantization method for nonlinear problems. (Q2724975)
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scientific article; zbMATH DE number 1618514
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A stochastic quantization method for nonlinear problems. |
scientific article; zbMATH DE number 1618514 |
Statements
2001
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error bounds
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numerical examples
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optimal stopping
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snell envelope
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quantization of random variables
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reflected backward stochastic differential equation
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American option pricing
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algorithm
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free boundary
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American exchange options
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A stochastic quantization method for nonlinear problems. (English)
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0.8098308444023132
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0.7952802777290344
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0.7942385673522949
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0.7888732552528381
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0.7612154483795166
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