A constructive sharp approach to functional quantization of stochastic processes
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Cites work
- scientific article; zbMATH DE number 49190 (Why is no real title available?)
- scientific article; zbMATH DE number 3484688 (Why is no real title available?)
- scientific article; zbMATH DE number 467196 (Why is no real title available?)
- scientific article; zbMATH DE number 477682 (Why is no real title available?)
- scientific article; zbMATH DE number 1794211 (Why is no real title available?)
- scientific article; zbMATH DE number 3315557 (Why is no real title available?)
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A series expansion of fractional Brownian motion
- A space quantization method for numerical integration
- Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
- Construction of optimal quantizers for Gaussian measures on Banach spaces
- Expansions for Gaussian processes and Parseval frames
- Foundations of quantization for probability distributions
- Functional quantization and small ball probabilities for Gaussian processes
- Functional quantization for numerics with an application to option pricing
- Functional quantization of Gaussian processes
- Functional quantization of a class of Brownian diffusions: a constructive approach
- Functional quantization rate and mean regularity of processes with an application to Lévy processes
- Gaussian processes: Inequalities, small ball probabilities and applications
- High resolution quantization and entropy coding of jump processes
- High-resolution product quantization for Gaussian processes under sup-norm distortion
- High-resolution quantization and entropy coding for fractional Brownian motion
- Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion
- Optimal quadratic quantization for numerics: the Gaussian case
- Optimal quantizers for Radon random vectors in a Banach space
- Optimality of an explicit series expansion of the fractional Brownian sheet
- Quantization
- Sharp asymptotics of the functional quantization problem for Gaussian processes.
- Small ball probabilities around random centers of Gaussian measures and applications to quantization
- Small deviations of general Lévy processes
- The coding complexity of Lévy processes
- The coding complexity of diffusion processes under \(L^p[0,1]\)-norm distortion
- The coding complexity of diffusion processes under supremum norm distortion
Cited in
(11)- Fractal functional quantization of mean-regular stochastic processes
- Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes
- A versatile technique for the optimal approximation of random processes by functional quantization
- Functional quantization rate and mean regularity of processes with an application to Lévy processes
- Constructive quadratic functional quantization and critical dimension
- Marginal and Functional Quantization of Stochastic Processes
- A local refinement strategy for constructive quantization of scalar SDEs
- Functional quantization and small ball probabilities for Gaussian processes
- Construction of optimal quantizers for Gaussian measures on Banach spaces
- Partial functional quantization and generalized bridges
- Functional quantization of a class of Brownian diffusions: a constructive approach
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