Marginal and Functional Quantization of Stochastic Processes

DOI10.1007/978-3-031-45464-6MaRDI QIDQ6185066zbMATH OpenOpenAlexFDO

Authors Harald Luschgy, Gilles Pagès

Publication date 8 January 2024

Published in Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-45464-6

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Probability theory on linear topological spaces (60B11) Gaussian processes (60G15) Numerical solutions to stochastic differential and integral equations (65C30)

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(4)

• A constructive sharp approach to functional quantization of stochastic processes
• Quantization dimensions of negative order
• Improved algorithm for the optimal quantization of single- and multivariate random functions
• Quantization of probability distributions via divide-and-conquer: convergence and error propagation under distributional arithmetic operations

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