AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS

By Gilles Pagès, Huyen Pham, Jacques Printems. 2004

82 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ef2c4b74392b4fad6f86fe6558d6fb0b5f5cf0d6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Huyen Pham
2. Thaleia Zariphopoulou
3. P. J. Graber
4. Yasushi Ishikawa
5. Peter A. Forsyth
6. Marek Musiela
7. Daniel Lacker
8. Y. Huang

In Management Science and Operations Research

1. Huyen Pham
2. P. J. Graber

Citations in the corpus

• On some recent aspects of stochastic control and their applications (2005, methodology): “ov chain is easily implemented, calculations can be done in practice only for low dimensions as in the purely deterministic approach. To overcome the dimensionality problem, Pag`es, Pham and Printems [71] propose a probabilistic method based on optimal quantization methods for numerically solving st”