Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation
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DOI: 10.1515/1569396054027283
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Cited by:
- Brandejsky, Adrien & de Saporta, Benoîte & Dufour, François, 2013. "Optimal stopping for partially observed piecewise-deterministic Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 3201-3238.
- Giorgia Callegaro & Abass Sagna, 2009. "An application to credit risk of a hybrid Monte Carlo-Optimal quantization method," Papers 0907.0645, arXiv.org.
- Ludkovski, Michael, 2009. "A simulation approach to optimal stopping under partial information," Stochastic Processes and their Applications, Elsevier, vol. 119(12), pages 4061-4087, December.
- repec:hal:wpaper:hal-00400666 is not listed on IDEAS
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Keywords
Nonlinear filtering; Markov chain; quantization; stochastic gradient descent; Monte Carlo simulations; partial observation; optimal stopping.;All these keywords.
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