Partial functional quantization and generalized bridges (Q2448710)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Partial functional quantization and generalized bridges |
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Partial functional quantization and generalized bridges (English)
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5 May 2014
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In this article the author proposes a new functional quantization scheme for a bi-measurable Gaussian process \(X\), which consists in discretizing a finite subset of a Karhunen-Loève coordinates instead of performing a full quantization. This allows author to define the partial functional quantization of \(X\) in the SDE.
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Brownian bridge
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functional quantization
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Gaussian semimartingale
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