Time discretization and quantization methods for optimal multiple switching problem
نویسندگان
چکیده
منابع مشابه
Time discretization and quantization methods for optimal multiple switching problem
In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the solution to optimal multiple switching problems with regime-dependent state process. We first consider a discrete-time approximation of the optimal switching problem, and analyze its rate of convergence. The error is of order 1 2 − ε, ε > 0, and of order 12 when the switching costs...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2012
ISSN: 0304-4149
DOI: 10.1016/j.spa.2012.02.008