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A stochastic quantization method for nonlinear problems

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  • BALLY Vlad
  • PAGÈS Gilles
  • PRINTEMS Jacques

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  • BALLY Vlad & PAGÈS Gilles & PRINTEMS Jacques, 2001. "A stochastic quantization method for nonlinear problems," Monte Carlo Methods and Applications, De Gruyter, vol. 7(1-2), pages 21-34, December.
    • Handle: RePEc:bpj:mcmeap:v:7:y:2001:i:1-2:p:21-34:n:14
    DOI: 10.1515/mcma.2001.7.1-2.21
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    References listed on IDEAS

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    1. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
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    Cited by:

    1. Vincent Lemaire & Thibaut Montes & Gilles Pagès, 2020. "New Weak Error bounds and expansions for Optimal Quantization," Post-Print hal-02361644, HAL.
    2. Bally, Vlad & Pagès, Gilles, 2003. "Error analysis of the optimal quantization algorithm for obstacle problems," Stochastic Processes and their Applications, Elsevier, vol. 106(1), pages 1-40, July.
    3. Vincent Lemaire & Thibaut Montes & Gilles Pagès, 2019. "New Weak Error bounds and expansions for Optimal Quantization," Working Papers hal-02361644, HAL.

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