Quantization methods for stochastic differential equations

DOI10.1007/978-3-030-96173-2_11MaRDI QIDQ2080137zbMATH OpenOpenAlexFDO

Authors J. Kienitz, Robert E. Rudd, Eckhard Platen, Thomas Andrew McWalter

Publication date 7 October 2022

Full work available at URL https://doi.org/10.1007/978-3-030-96173-2_11

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Recursive marginal quantization of higher-order schemes
• Pricing via recursive quantization in stochastic volatility models
• Product Markovian quantization of a diffusion process with applications to finance
• Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
• Recursive marginal quantization of the Euler scheme of a diffusion process

Cited in

(15)

• Product Markovian quantization of a diffusion process with applications to finance
• Stochastic quantization for the fractional Edwards measure
• A local refinement strategy for constructive quantization of scalar SDEs
• Stochastic quantization of time-dependent systems by the Haba and Kleinert method
• Functional quantization for numerics with an application to option pricing
• scientific article; zbMATH DE number 4135179 (Why is no real title available?)
• Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
• scientific article; zbMATH DE number 4068038 (Why is no real title available?)
• Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
• Recursive marginal quantization of higher-order schemes
• Pricing via recursive quantization in stochastic volatility models
• Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
• Quantization of stochastic volatility models: numerical tests and an open source implementation

This page was built for publication: Quantization methods for stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2080137)