Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations

DOI10.1016/S1570-8659(08)00009-4MaRDI QIDQ3631192zbMATH OpenOpenAlexFDO

Authors Huyên Pham, Marco Corsi, Wolfgang J. Runggaldier

Publication date 5 June 2009

Published in Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s1570-8659(08)00009-4

zbMATH Keywords

dynamic programmingEuropean option hedgingfilteringpartially observed stochastic volatility

Mathematics Subject Classification ID

Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Filtering in stochastic control theory (93E11)

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Cited in

(11)

• Optimal investment in markets with over and under-reaction to information
• Greedy vector quantization
• Pointwise convergence of the Lloyd I algorithm in higher dimension
• An introduction to particle methods with financial applications
• Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation
• Numerical approximation by quantization for optimization problems in finance under partial oberservations
• Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers
• Contrôle stochastique avec informations partielles et applications à la Finance
• Consistency issues for numerical methods for variance control, with applications to optimization in finance
• Recursive marginal quantization of the Euler scheme of a diffusion process
• Introduction to vector quantization and its applications for numerics

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