scientific article; zbMATH DE number 5010399
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Publication:3374068
zbMATH Open1138.91467MaRDI QIDQ3374068FDOQ3374068
Authors: Gilles Pagès, Huyên Pham, Jacques Printems 
Publication date: 9 March 2006
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Cited In (49)
- Introduction to vector quantization and its applications for numerics
- Numerical simulation of quadratic BSDEs
- Support points
- Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers
- Conditional quantile estimation through optimal quantization
- Scenario Reduction Techniques in Stochastic Programming
- Constructive quantization: approximation by empirical measures
- Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
- UniversalLs-rate-optimality ofLr-optimal quantizers by dilatation and contraction
- Optimal stopping for partially observed piecewise-deterministic Markov processes
- Optimal Delaunay and Voronoi quantization schemes for pricing American style options
- Optimal quantization methods for nonlinear filtering with discrete-time observations
- Swing contract pricing: with and without neural networks
- Asymptotics of one-dimensional Lévy approximations
- Best finite constrained approximations of one-dimensional probabilities
- Time discretization and quantization methods for optimal multiple switching problem
- Algorithmic trading in a microstructural limit order book model
- Stationary Heston model: calibration and pricing of exotics using product recursive quantization
- Numerical method for impulse control of piecewise deterministic Markov processes
- Canonical sequences of optimal quantization for condensation measures
- Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
- Functional quantization for numerics with an application to option pricing
- Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
- Competitive facility location with random attractiveness
- On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems
- On conditional cuts for stochastic dual dynamic programming
- Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
- Recursive marginal quantization of higher-order schemes
- Optimal quantization applied to sliced inverse regression
- Pointwise convergence of the Lloyd I algorithm in higher dimension
- Numerical methods for an optimal multiple stopping problem
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Greedy vector quantization
- An introduction to particle methods with financial applications
- Quantization of probability distributions and gradient flows in space dimension 2
- A backward Monte Carlo approach to exotic option pricing
- Convergence of Markovian stochastic approximation with discontinuous dynamics
- A class of finite-dimensional numerically solvable McKean-Vlasov control problems
- Quantization and clustering on Riemannian manifolds with an application to air traffic analysis
- Three kinds of discrete approximations of statistical multivariate distributions and their applications
- Numerical method for optimal stopping of piecewise deterministic Markov processes
- Partially observed optimal stopping problem for discrete-time Markov processes
- New weak error bounds and expansions for optimal quantization
- Asymptotic optimality of the triangular lattice for a class of optimal location problems
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
- The high resolution vector quantization problem with Orlicz norm distortion
- Feynman-Kac representation of fully nonlinear PDEs and applications
- Change-point detection for piecewise deterministic Markov processes
- Numerical methods for the exit time of a piecewise-deterministic Markov process
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