Error analysis of the optimal quantization algorithm for obstacle problems.

DOI10.1016/S0304-4149(03)00026-7zbMath1075.60523MaRDI QIDQ2574574

Vlad Bally, Gilles Pagès

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

optimal stopping; American option pricing; reflected backward stochastic differential equation; numerical probability; snell envelope; optimal quantization of random variables

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

65C05: Monte Carlo methods

60G40: Stopping times; optimal stopping problems; gambling theory

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