SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Time discretization and quantization methods for optimal multiple switching problem · Study

ArticleShelves

ArticleTime discretization and quantization methods for optimal multiple switching problem

Paul Gassiat2012

OA

Articlebronze2012

Time discretization and quantization methods for optimal multiple switching problem

Paul Gassiat · Idris Kharroubi · Huyên Pham

16 citations·0/0 files stored·Stochastic Processes and their Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Numerical methods for differential equations Adaptive Dynamic Programming Control

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 16 citations exist upstream.

References

2016Numerical solution of stochastic differential equations 2009Continuous-time Stochastic Control and Optimization with Financial Applications 1996The law of the Euler scheme for stochastic differential equations 2003A quantization algorithm for solving multidimensional discrete-time optimal stopping problems 2007On the Starting and Stopping Problem: Application in Reversible Investments 2004Optimal Quantization Methods and Applications to Numerical Problems in Finance 2009Multi-dimensional BSDE with oblique reflection and optimal switching 2009A Finite Horizon Optimal Multiple Switching Problem

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2012Discrete-time approximation of multidimensional BSDEs with oblique reflectionsarticle · 6 shared references 2013BSDE representations for optimal switching problems with controlled volatilityarticle · 6 shared references 2012Swing Options Valuation: A BSDE with Constrained Jumps Approachchapter · 6 shared references 2012Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problemarticle · 5 shared references 2006Discretization and Simulation of the Zakai Equationarticle · 5 shared references 2015Recursive Marginal Quantization of the Euler Scheme of a Diffusion Processarticle · 5 shared references

Details

Year2012

Typearticle

Published2012-02-21

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2012.02.008

openalex_workW2008997528

Links

Imported from OpenAlex (CC0) — nothing here is generated.