scientific article

From MaRDI portal
Publication:3374068

zbMath1138.91467MaRDI QIDQ3374068

Gilles Pagès, Jacques Printems, Huyên Pham

Publication date: 9 March 2006


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.


Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (48)

Canonical sequences of optimal quantization for condensation measuresRecursive marginal quantization of higher-order schemesAn Introduction to Particle Methods with Financial ApplicationsOptimal Delaunay and Voronoi Quantization Schemes for Pricing American Style OptionsStationary Heston model: calibration and pricing of exotics using product recursive quantizationQuantization of probability distributions and gradient flows in space dimension 2A backward Monte Carlo approach to exotic option pricingConstructive quantization: approximation by empirical measuresAsymptotics of one-dimensional Lévy approximationsDeep neural networks algorithms for stochastic control problems on finite horizon: numerical applicationsPartially observed optimal stopping problem for discrete-time Markov processesCompetitive facility location with random attractivenessBest finite constrained approximations of one-dimensional probabilitiesAsymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizersOn conditional cuts for stochastic dual dynamic programmingNonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy MarketsLearning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricingTime discretization and quantization methods for optimal multiple switching problemNumerical method for impulse control of piecewise deterministic Markov processesOptimal quantization applied to sliced inverse regressionNumerical method for optimal stopping of piecewise deterministic Markov processesChange-point detection for piecewise deterministic Markov processesOptimal stopping for partially observed piecewise-deterministic Markov processesConditional quantile estimation through optimal quantizationAlgorithmic trading in a microstructural limit order book modelIndifference pricing of pure endowments and life annuities under stochastic hazard and interest ratesAsymptotic optimality of the triangular lattice for a class of optimal location problemsSupport pointsThe high resolution vector quantization problem with Orlicz norm distortionIntroduction to vector quantization and its applications for numericsA forward-backward stochastic algorithm for quasi-linear PDEsQuantization and clustering on Riemannian manifolds with an application to air traffic analysisGreedy vector quantizationConvergence of Markovian Stochastic Approximation with Discontinuous DynamicsFunctional quantization for numerics with an application to option pricingNew weak error bounds and expansions for optimal quantizationA class of finite-dimensional numerically solvable McKean-Vlasov control problemsNumerical methods for an optimal multiple stopping problemAsymptotically optimal quantization schemes for Gaussian processes on Hilbert spacesOn the Scenario-Tree Optimal-Value Error for Stochastic Programming ProblemsPointwise Convergence of the Lloyd I Algorithm in Higher DimensionThree kinds of discrete approximations of statistical multivariate distributions and their applicationsScenario Reduction Techniques in Stochastic ProgrammingUniversalLs-rate-optimality ofLr-optimal quantizers by dilatation and contractionFeynman-Kac representation of fully nonlinear PDEs and applicationsNumerical simulation of quadratic BSDEsNumerical Methods for the Exit Time of a Piecewise-Deterministic Markov ProcessOptimal quantization methods for nonlinear filtering with discrete-time observations




This page was built for publication: