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Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation

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References

1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
1998Stochastic Approximation Algorithms and Applications994 cited
1992Numerical Methods for Stochastic Control Problems in Continuous Time625 cited
2003A quantization algorithm for solving multidimensional discrete-time optimal stopping problems213 cited
2004Optimal Quantization Methods and Applications to Numerical Problems in Finance143 cited
2004AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS66 cited

Cited by

2015Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process30 cited
2017Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering28 cited

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