A stochastic quantization method for nonlinear problems

Monte Carlo Methods and Applications

Volumn 7, Issue 1-2, 2001, Pages 21-33

  Bally, Vlad ^a   Pagès, Gilles ^b   Printems, Jacques ^b  

^a UNIVERSITÉ DU MAINE   (France)

^b UNIVERSITÉ PARIS EST CRÉTEIL   (France)

Author keywords

American Option pricing; Numerical Probability; Optimal Stopping; Quantization of random variables; Reflected Backward Stochastic Differential Equation; Snell envelope

Indexed keywords

EID: 0002262588     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/mcma.2001.7.1-2.21     Document Type: Article

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