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

A new grid method for computing the Snell envelope of a function of an $\mathbb{R}^d$-valued simulatable Markov chain $(X_k)_{0\lambda \leq k\lambda \leq n}$ is proposed. (This is a typical nonlinear problem that cannot be solved by the standard Monte Carlo method.) Every $X_k$ is replaced by a `qua... View More