Convergence of multi-dimensional quantized SDEs

DOI10.1007/978-3-642-15217-7_11MaRDI QIDQ3086803zbMATH OpenOpenAlexFDO

Authors Gilles Pagès, Afef Sellami

Publication date 30 March 2011

Published in Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0801.0726

zbMATH Keywords

\(p\)-variationfunctional quantizationHölder semi-normItô maprough path theorystationary quantizersstochastic differential equationsStratonovich stochastic integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We quantize a multidimensional $SDE$ (in the Stratonovich sense) by solving the related system of $ODE$'s in which the $d$-dimensional Brownian motion has been replaced by the components of functional stationary quantizers. We make a connection with rough path theory to show that the solutions of the quantized solutions of the $ODE$ converge toward the solution of the $SDE$. On our way to this result we provide convergence rates of optimal quantizations toward the Brownian motion for $frac1q$-H" older distance, $q>2$, in $L^p(P)$.

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Cited in

(6)

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• Partial functional quantization and generalized bridges
• Functional quantization of a class of Brownian diffusions: a constructive approach
• Reduced basis techniques for stochastic problems
• Finite-dimensional models for response analysis
• Joint SPX \& VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints

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