Partial functional quantization and generalized bridges (Q2448710)
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scientific article; zbMATH DE number 6291820
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| English | Partial functional quantization and generalized bridges |
scientific article; zbMATH DE number 6291820 |
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Partial functional quantization and generalized bridges (English)
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5 May 2014
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In this article the author proposes a new functional quantization scheme for a bi-measurable Gaussian process \(X\), which consists in discretizing a finite subset of a Karhunen-Loève coordinates instead of performing a full quantization. This allows author to define the partial functional quantization of \(X\) in the SDE.
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Brownian bridge
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functional quantization
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Gaussian semimartingale
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0.7655912637710571
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0.7644160389900208
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0.7468811273574829
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0.746144711971283
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0.7390767931938171
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