A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

DOI10.3150/bj/1072215199zbMath1042.60021OpenAlexW2048370823MaRDI QIDQ1431527

Publication date: 10 June 2004

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1072215199

zbMATH Keywords

Markov chains American option pricing reflected backward stochastic differential equation Snell envelope numerical probability quantization of random variables

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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