A constructive sharp approach to functional quantization of stochastic processes
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Summary: We present a constructive approach to the functional quantization problem of stochastic processes, with an emphasis on Gaussian processes. The approach is constructive since we reduce the infinite-dimensional functional quantization problem to a finite-dimensional quantization problem that can be solved numerically. Our approach achieves the sharp rate of the minimal quantization error and can be used to quantize the path space for Gaussian processes and also, for example, Lévy processes.
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Cited in
(11)- Functional quantization and small ball probabilities for Gaussian processes
- A versatile technique for the optimal approximation of random processes by functional quantization
- Constructive quadratic functional quantization and critical dimension
- Functional quantization rate and mean regularity of processes with an application to Lévy processes
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- Construction of optimal quantizers for Gaussian measures on Banach spaces
- Fractal functional quantization of mean-regular stochastic processes
- Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes
- Marginal and Functional Quantization of Stochastic Processes
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