Optimal quadratic quantization for numerics: the Gaussian case
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Cites work
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- A stochastic quantization method for nonlinear problems.
- Asymptotics of optimal quantizers for some scalar distributions
- Exponential rate of convergence for Lloyd's method I
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- Foundations of quantization for probability distributions
- scientific article; zbMATH DE number 467196 (Why is no real title available?)
- scientific article; zbMATH DE number 1043533 (Why is no real title available?)
- Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
- Stochastic algorithms
- Stochastic approximation methods for constrained and unconstrained systems
Cited in
(63)- The Jacobi stochastic volatility model
- Probabilistic optimization via approximate \(p\)-efficient points and bundle methods
- Conditional quantile estimation based on optimal quantization: from theory to practice
- A versatile technique for the optimal approximation of random processes by functional quantization
- Regularized decomposition of large scale block-structured robust optimization problems
- Properties and generation of representative points of the exponential distribution
- A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
- Product Markovian quantization of a diffusion process with applications to finance
- On conditional cuts for stochastic dual dynamic programming
- Sampling of probability measures in the convex order by Wasserstein projection
- An approximation scheme for stochastic controls in continuous time
- Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function
- New weak error bounds and expansions for optimal quantization
- Valuation and pricing of electricity delivery contracts: the producer's view
- A comparison of four approaches from stochastic programming for large-scale unit-commitment
- Competitive facility location with random attractiveness
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
- Functional quantization of a class of Brownian diffusions: a constructive approach
- Quasi-Monte Carlo quadratures for multivariate smooth functions
- Solving stochastic optimal control problems by a Wiener chaos approach
- Performance of a Markovian neural network versus dynamic programming on a fishing control problem
- When are swing options bang-bang?
- Pointwise convergence of the Lloyd I algorithm in higher dimension
- Optimal Delaunay and Voronoi quantization schemes for pricing American style options
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- Optimal learning in linear regression with combinatorial feature selection
- How to speed up the quantization tree algorithm with an application to swing options
- Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
- Adaptive robust control under model uncertainty
- Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
- An empirical analysis of scenario generation methods for stochastic optimization
- Functional quantization for numerics with an application to option pricing
- Optimal Quantization for the Pricing of Swing Options
- Optimal information blending with measurements in the \(L^{2}\) sphere
- Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
- Some new simulations schemes for the evaluation of Feynman–Kac representations
- Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
- Multi-asset American options and parallel quantization
- Constructive quantization: approximation by empirical measures
- A backward Monte Carlo approach to exotic option pricing
- Conditional quantile estimation through optimal quantization
- AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
- Recursive marginal quantization of the Euler scheme of a diffusion process
- On-line quantization in nonlinear filtering
- Estimate nothing
- Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Average competitive learning vector quantization
- Introduction to vector quantization and its applications for numerics
- Minimum energy representative points
- Limiting behavior of the gap between the largest two representative points of statistical distributions
- A constructive sharp approach to functional quantization of stochastic processes
- Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
- Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
- Optimal quantization applied to sliced inverse regression
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- Input-output space-filling representative points for clustering, modeling, and estimation
- A new Kolmogorov-Smirnov test based on representative points in the exponential distribution family
- Joint SPX \& VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
- Numerical computation of risk functionals in PDMP risk models
- Robust high-dimensional non-parametric representative points via density-guided clustering
- Optimal quantization methods for nonlinear filtering with discrete-time observations
- Optimal quantizers for Radon random vectors in a Banach space
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