@article {stochasticNonLinearProblems,
	title = {A stochastic quantization method for nonlinear problems},
	journal = {Monte Carlo Methods and Applications},
	volume = {7(1)},
	year = {2001},
	pages = {21-34},
	abstract = {We give an algorithm based on the quantization method which computes the solution of multi-dimensional obstacle problems, e.g. the pricing of American option on a basket of assets. More generally this algorithm applies to semi-linear partial differential equations with free boundary, or, in probabilistic terms, to reflected backward stochastic differential equations. Some a priori estimates of the error are obtained. A numerical illustration about the pricing of American exchange options is proposed.},
	keywords = {algorithm, American exchange options, American option pricing, error bounds, free boundary, numerical examples, Optimal Stopping, quantization, Reflected Backward Stochastic Differential Equation, Snell envelope},
	author = {Vlad Bally and Gilles Pag{\`e}s and Jacques Printems}
}
