Functional quantization of Gaussian processes
From MaRDI portal
Recommendations
- Entropy-constrained functional quantization of Gaussian processes
- Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
- Functional quantization and small ball probabilities for Gaussian processes
- Sharp asymptotics of the functional quantization problem for Gaussian processes.
- Functional quantization rate and mean regularity of processes with an application to Lévy processes
Cites work
- A space quantization method for numerical integration
- A stochastic quantization method for nonlinear problems.
- Asymptotic behavior of the eigenvalues of certain integral equations. II
- Asymptotics of the quantization errors for self-similar probabilities
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Foundations of quantization for probability distributions
- scientific article; zbMATH DE number 4051990 (Why is no real title available?)
- scientific article; zbMATH DE number 53542 (Why is no real title available?)
- scientific article; zbMATH DE number 193549 (Why is no real title available?)
- scientific article; zbMATH DE number 467196 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3305414 (Why is no real title available?)
- On the Bernstein-von Mises theorem with infinite-dimensional parameters
- Principal points and self-consistent points of elliptical distributions
- The Quantization Dimension of Self–Similar Probabilities
- The strong law of large numbers for k-means and best possible nets of Banach valued random variables
Cited in
(51)- High resolution quantization and entropy coding of jump processes
- Indefinite quadratic functionals of Gaussian processes and least-action paths
- Small ball probabilities around random centers of Gaussian measures and applications to quantization
- Functional quantization and small ball probabilities for Gaussian processes
- Random bit quadrature and approximation of distributions on Hilbert spaces
- A versatile technique for the optimal approximation of random processes by functional quantization
- Sharp asymptotics of the functional quantization problem for Gaussian processes.
- Sharp asymptotics of the Kolmogorov entropy for Gaussian measures
- Constructive quadratic functional quantization and critical dimension
- A parametric k-means algorithm
- Optimal rates for parameter estimation of stationary Gaussian processes
- Quantization meets Fourier: a new technology for pricing options
- Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function
- Robust clustering tools based on optimal transportation
- Functional quantization rate and mean regularity of processes with an application to Lévy processes
- Partial functional quantization and generalized bridges
- High-resolution product quantization for Gaussian processes under sup-norm distortion
- Stochastic structure of asymptotic quantization errors
- Functional quantization of a class of Brownian diffusions: a constructive approach
- Solving stochastic optimal control problems by a Wiener chaos approach
- Sequential transforms associated with Gaussian processes on function space
- Fractal functional quantization of mean-regular stochastic processes
- Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
- Convergence of multi-dimensional quantized SDEs
- Numerical approximation for a portfolio optimization problem under liquidity risk and costs
- Functional quantization for numerics with an application to option pricing
- Reduced basis techniques for stochastic problems
- Quantization of stationary Gaussian random processes and their generalizations
- Estimation of the Sobol indices in a linear functional multidimensional model
- Functional Gaussian Approximation for Dependent Structures
- Uniform and non-uniform quantization of Gaussian processes
- Distortion mismatch in the quantization of probability measures
- Brownian motion simulation: a quantization approach
- Pricing of barrier options by marginal functional quantization
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Small ball probabilities for Gaussian random fields and tensor products of compact operators
- Entropy-constrained functional quantization of Gaussian processes
- Higher-order terms in asymptotic expansion for information loss in quantized random processes
- Signature-Based Models: Theory and Calibration
- A constructive sharp approach to functional quantization of stochastic processes
- A principal subspace theorem for 2-principal points of general location mixtures of spherically symmetric distributions
- Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
- Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes
- Principal points of a multivariate mixture distribution
- Metric entropy of ellipsoids in Banach spaces: techniques and precise asymptotics
- Quantization of stochastic volatility models: numerical tests and an open source implementation
- Improved algorithm for the optimal quantization of single- and multivariate random functions
- Sharp asymptotics of the metric entropy for ellipsoids
- High-resolution quantization and entropy coding for fractional Brownian motion
- Optimal quantizers for Radon random vectors in a Banach space
- The coding complexity of diffusion processes under supremum norm distortion
This page was built for publication: Functional quantization of Gaussian processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1865334)
