Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation-Reference-Cited by-同舟云学术

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

Published:2005-01-01 Issue:1 Volume:11 Page:
ISSN:0929-9629
Container-title:Monte Carlo Methods and Applications
language:
Short-container-title:

Author:

Pham Huyên,Runggaldier Wolfgang,Sellami Afef

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Statistics and Probability

Link

https://www.degruyter.com/view/j/mcma.2005.11.issue-1/1569396054027283/1569396054027283.pdf

Reference16 articles.

1. A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

2. Bally V., Pages G., Printems J. (2001) : A stochastic quantization method for non linear problems, Monte Carlo Methods and Applications, 7, n01-2, pp.21-34.

3. The Monte-Carlo method for filtering with discrete-time observations

4. An Approach to Discrete-Time Stochastic Control Problems under Partial Observation

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