scientific article; zbMATH DE number 5010399

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Quantization of probability distributions and gradient flows in space dimension 2
Partially observed optimal stopping problem for discrete-time Markov processes
Change-point detection for piecewise deterministic Markov processes
Greedy vector quantization
Numerical method for optimal stopping of piecewise deterministic Markov processes
Support points
Three kinds of discrete approximations of statistical multivariate distributions and their applications
Canonical sequences of optimal quantization for condensation measures
Asymptotics of one-dimensional Lévy approximations
On conditional cuts for stochastic dual dynamic programming
Asymptotic optimality of the triangular lattice for a class of optimal location problems
Quantization and clustering on Riemannian manifolds with an application to air traffic analysis
New weak error bounds and expansions for optimal quantization
Feynman-Kac representation of fully nonlinear PDEs and applications
Competitive facility location with random attractiveness
Best finite constrained approximations of one-dimensional probabilities
Optimal stopping for partially observed piecewise-deterministic Markov processes
A forward-backward stochastic algorithm for quasi-linear PDEs
Numerical simulation of quadratic BSDEs
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Convergence of Markovian stochastic approximation with discontinuous dynamics
Numerical methods for an optimal multiple stopping problem
Pointwise convergence of the Lloyd I algorithm in higher dimension
Numerical methods for the exit time of a piecewise-deterministic Markov process
An introduction to particle methods with financial applications
Optimal Delaunay and Voronoi quantization schemes for pricing American style options
Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
Functional quantization for numerics with an application to option pricing
On the scenario-tree optimal-value error for stochastic programming problems
Scenario Reduction Techniques in Stochastic Programming
Constructive quantization: approximation by empirical measures
Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers
Time discretization and quantization methods for optimal multiple switching problem
Numerical method for impulse control of piecewise deterministic Markov processes
Recursive marginal quantization of higher-order schemes
A backward Monte Carlo approach to exotic option pricing
Conditional quantile estimation through optimal quantization
A class of finite-dimensional numerically solvable McKean-Vlasov control problems
Stationary Heston model: calibration and pricing of exotics using product recursive quantization
Algorithmic trading in a microstructural limit order book model
The high resolution vector quantization problem with Orlicz norm distortion
Introduction to vector quantization and its applications for numerics
UniversalL^s-rate-optimality ofL^r-optimal quantizers by dilatation and contraction
Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
Optimal quantization applied to sliced inverse regression
Swing contract pricing: with and without neural networks
A new Kolmogorov-Smirnov test based on representative points in the exponential distribution family
Joint SPX \& VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
Numerical computation of risk functionals in PDMP risk models
Modeling flex-route transit systems with a continuous approximation Markovian approach
Optimal quantization methods for nonlinear filtering with discrete-time observations
Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates

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