Pages that link to "Item:Q1431527"

The following pages link to A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (Q1431527):

Displaying 50 items.

• \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions (Q265284) (← links)
• Simulation of BSDEs with jumps by Wiener chaos expansion (Q271886) (← links)
• An empirical analysis of scenario generation methods for stochastic optimization (Q323497) (← links)
• The parareal algorithm for American options (Q338075) (← links)
• Weak approximations for Wiener functionals (Q363864) (← links)
• Multi-asset American options and parallel quantization (Q370907) (← links)
• Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
• Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers (Q408108) (← links)
• Time discretization and quantization methods for optimal multiple switching problem (Q424519) (← links)
• Numerical method for impulse control of piecewise deterministic Markov processes (Q445881) (← links)
• A convolution method for numerical solution of backward stochastic differential equations (Q518855) (← links)
• Strong approximations of BSDEs in a domain (Q605887) (← links)
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989) (← links)
• Optimal quantization methods for nonlinear filtering with discrete-time observations (Q817977) (← links)
• Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options (Q853652) (← links)
• Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis (Q893337) (← links)
• Modeling time-dependent randomness in stochastic dual dynamic programming (Q1622820) (← links)
• Change-point detection for piecewise deterministic Markov processes (Q1716530) (← links)
• An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation (Q1787194) (← links)
• Greedy vector quantization (Q1791088) (← links)
• Energy contracts management by stochastic programming techniques (Q1931657) (← links)
• Numerical method for optimal stopping of piecewise deterministic Markov processes (Q1958493) (← links)
• Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911) (← links)
• Gas storage valuation in incomplete markets (Q2028869) (← links)
• Optimal decision policy for real options under general Markovian dynamics (Q2028909) (← links)
• Multilevel Picard iterations for solving smooth semilinear parabolic heat equations (Q2063953) (← links)
• New approach to greedy vector quantization (Q2073221) (← links)
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo (Q2088763) (← links)
• A fully quantization-based scheme for FBSDEs (Q2101958) (← links)
• A stability result for linear Markovian stochastic optimization problems (Q2118100) (← links)
• Properties and generation of representative points of the exponential distribution (Q2122810) (← links)
• Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions (Q2165859) (← links)
• Numerical approximation of singular forward-backward SDEs (Q2168288) (← links)
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
• Distributionally robust optimization with multiple time scales: valuation of a thermal power plant (Q2221473) (← links)
• Neural network regression for Bermudan option pricing (Q2239248) (← links)
• Optimal liquidation problem in illiquid markets (Q2242363) (← links)
• Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity (Q2273921) (← links)
• Random walk approximation of BSDEs with Hölder continuous terminal condition (Q2278659) (← links)
• Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function (Q2295030) (← links)
• New weak error bounds and expansions for optimal quantization (Q2297129) (← links)
• Multiscale stochastic optimization: modeling aspects and scenario generation (Q2301125) (← links)
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations (Q2316188) (← links)
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815) (← links)
• Feynman-Kac representation of fully nonlinear PDEs and applications (Q2355853) (← links)
• Optimal stopping for partially observed piecewise-deterministic Markov processes (Q2447709) (← links)
• Second order discretization of backward SDEs and simulation with the cubature method (Q2448692) (← links)
• Simulation of BSDEs by Wiener chaos expansion (Q2454405) (← links)
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps (Q2469490) (← links)
• High-resolution product quantization for Gaussian processes under sup-norm distortion (Q2469646) (← links)