Functional quantization rate and mean regularity of processes with an application to Lévy processes (Q2426601)

The authors investigate the connection between the mean pathwise regularity of stochastic processes and their \(L^r(\mathbb P)\)-functional quantization rates as random variables taking values in some \(L^p([0, T], \d t)\)-spaces \((0<p\leq r)\). More precisely, it is shown that some Lipschitz condition for \(\mathbb E| X_t-X_s| ^\rho\) yields an upper estimate for the quantization error of the process \(X\) regarded as random vector with values in \(L^p[0,T],\d t)\). The main tool in the proof is the Haar basis. It is shown that the derived functional quantization rate may be optimal (e.g., for Brownian motion or symmetric stable processes) so that the rate is optimal as a universal upper bound. As a first application, the \(O((\log N)^{ - 1/2})\) upper bound for general Itô processes which include multidimensional diffusions is established. Then, the specific family of Lévy processes is investigated where a general quantization rate is established, based on the regular variation properties of its Lévy measure at 0. The case of compound Poisson processes, which appear as degenerate in the former approach, is studied specifically: some rates which are between the finite-dimensional and infinite-dimensional ``usual'' rates are observed.