Partial functional quantization and generalized bridges

DOI10.3150/12-BEJ504MaRDI QIDQ2448710zbMATH OpenOpenAlexFDO

Authors Sylvain Corlay

Publication date 5 May 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.5488, https://projecteuclid.org/euclid.bj/1393594004

zbMATH Keywords

Brownian bridgefunctional quantizationGaussian semimartingale

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Martingales with continuous parameter (60G44)

Abstract: In this article, we develop a new approach to functional quantization, which consists in discretizing only a finite subset of the Karhunen-Lo`eve coordinates of a continuous Gaussian semimartingale $X$. Using filtration enlargement techniques, we prove that the conditional distribution of $X$ knowing its first Karhunen-Lo`eve coordinates is a Gaussian semimartingale with respect to a bigger filtration. This allows us to define the partial quantization of a solution of a stochastic differential equation with respect to $X$ by simply plugging the partial functional quantization of $X$ in the SDE. Then we provide an upper bound of the $L^p$-partial quantization error for the solution of SDEs involving the $L^{p+varepsilon}$-partial quantization error for $X$, for $varepsilon>0$. The $a.s.$ convergence is also investigated. Incidentally, we show that the conditional distribution of a Gaussian semimartingale $X$, knowing that it stands in some given Voronoi cell of its functional quantization, is a (non-Gaussian) semimartingale. As a consequence, the functional stratification method developed in [6] amounted, in the case of solutions of SDEs, to using the Euler scheme of these SDEs in each Voronoi cell.

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Cited in

(8)

• Convergence of multi-dimensional quantized SDEs
• How complex is a random picture?
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• A local refinement strategy for constructive quantization of scalar SDEs
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• Functional quantization of a class of Brownian diffusions: a constructive approach
• Optimal distributed and tangential boundary control for the unsteady stochastic Stokes equations

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