A stochastic quantization method for nonlinear problems

DOI10.1515/mcma.2001.7.1-2.21zbMath1035.65008MaRDI QIDQ2724975

Vlad Bally, Gilles Pagès, Jacques Printems

Publication date: 2001

Published in: mcma (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2001.7.1-2.21

zbMATH Keywords

algorithm; numerical examples; optimal stopping; American option pricing; error bounds; free boundary; reflected backward stochastic differential equation; quantization of random variables; snell envelope; American exchange options

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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