Numerical approximation by quantization for optimization problems in finance under partial oberservations
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Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic models, generic numerical methods in probability and statistics (65C20) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Dynamic programming (90C39)
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