| Publication | Date of Publication | Type |
|---|
| Convergence of Langevin-simulated annealing algorithms with multiplicative noise | 2024-04-16 | Paper |
| Functional convex order for the scaled McKean-Vlasov processes | 2024-01-16 | Paper |
| Marginal and Functional Quantization of Stochastic Processes | 2024-01-08 | Paper |
| Discretization of the ergodic functional central limit theorem | 2023-11-21 | Paper |
| Convergence of Langevin-simulated annealing algorithms with multiplicative noise. II: Total variation | 2023-09-18 | Paper |
| Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds | 2023-06-05 | Paper |
| Performance of a Markovian neural network versus dynamic programming on a fishing control problem | 2023-04-26 | Paper |
| Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme | 2022-12-08 | Paper |
| Convex order, quantization and monotone approximations of ARCH models | 2022-11-21 | Paper |
| Monotone convex order for the McKean-Vlasov processes | 2022-08-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5097112 | 2022-08-19 | Paper |
| Stationary Heston model: calibration and pricing of exotics using product recursive quantization | 2022-05-27 | Paper |
| Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions | 2022-05-17 | Paper |
| Quantization and martingale couplings | 2022-02-08 | Paper |
| New approach to greedy vector quantization | 2022-02-01 | Paper |
| Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm | 2021-06-30 | Paper |
| Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) | 2021-06-03 | Paper |
| Weak error for nested multilevel Monte Carlo | 2021-01-18 | Paper |
| Sharp Rate for the Dual Quantization Problem | 2020-10-20 | Paper |
| Convergence rate of optimal quantization grids and application to empirical measure | 2020-10-05 | Paper |
| Product Markovian quantization of a diffusion process with applications to finance | 2020-05-04 | Paper |
| New weak error bounds and expansions for optimal quantization | 2020-02-18 | Paper |
| Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function | 2020-02-12 | Paper |
| Recursive computation of invariant distributions of Feller processes | 2020-01-24 | Paper |
| Quantization-based Bermudan option pricing in the $FX$ world | 2019-11-13 | Paper |
| Convex order, quantization and monotone approximations of ARCH models | 2019-10-02 | Paper |
| Nonlinear randomized urn models: a stochastic approximation viewpoint | 2019-09-19 | Paper |
| Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications | 2019-05-31 | Paper |
| Numerical methods for Stochastic differential equations: two examples | 2019-01-29 | Paper |
| Weighted multilevel Langevin simulation of invariant measures | 2018-12-17 | Paper |
| The Parareal Algorithm for American Options | 2018-10-31 | Paper |
| Greedy vector quantization | 2018-10-04 | Paper |
| Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process | 2018-09-18 | Paper |
| A general weak and strong error analysis of the recursive quantization with an application to jump diffusions | 2018-08-29 | Paper |
| Numerical probability. An introduction with applications to finance | 2018-05-28 | Paper |
| Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering | 2018-02-13 | Paper |
| Multilevel Richardson-Romberg extrapolation | 2017-09-21 | Paper |
| Addendum and corrigendum to: ``Randomized urn models revisited using stochastic approximation. | 2017-08-08 | Paper |
| An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES | 2017-07-07 | Paper |
| Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach | 2017-06-22 | Paper |
| Limit theorems for weighted and regular multilevel estimators | 2017-03-16 | Paper |
| Recursive computation of the invariant distribution of Markov and Feller processes | 2017-03-13 | Paper |
| The parareal algorithm for American options | 2016-11-03 | Paper |
| Pointwise Convergence of the Lloyd I Algorithm in Higher Dimension | 2016-09-14 | Paper |
| CV<scp>a</scp> R HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM | 2016-02-22 | Paper |
| Introduction to vector quantization and its applications for numerics | 2016-02-10 | Paper |
| Optimization and statistical methods for high frequency finance | 2016-01-29 | Paper |
| Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation | 2016-01-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3453785 | 2015-11-30 | Paper |
| Functional quantization-based stratified sampling methods | 2015-03-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5169877 | 2014-07-14 | Paper |
| Constructive quadratic functional quantization and critical dimension | 2014-06-27 | Paper |
| A mixed-step algorithm for the approximation of the stationary regime of a diffusion | 2014-02-06 | Paper |
| Functional Co-monotony of Processes with Applications to Peacocks and Barrier Options | 2013-11-28 | Paper |
| Multi-asset American options and parallel quantization | 2013-09-20 | Paper |
| Randomized urn models revisited using stochastic approximation | 2013-09-05 | Paper |
| Optimal posting price of limit orders: learning by trading | 2013-08-06 | Paper |
| Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options | 2012-09-28 | Paper |
| Intrinsic Stationarity for Vector Quantization: Foundation of Dual Quantization | 2012-08-23 | Paper |
| The local quantization behavior of absolutely continuous probabilities | 2012-08-17 | Paper |
| Ergodic approximation of the distribution of a stationary diffusion: rate of convergence | 2012-07-08 | Paper |
| Stochastic approximation with averaging innovation applied to Finance | 2012-05-07 | Paper |
| Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach | 2012-04-19 | Paper |
| Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers | 2012-03-29 | Paper |
| How to speed up the quantization tree algorithm with an application to swing options | 2011-04-29 | Paper |
| Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces | 2011-03-31 | Paper |
| Convergence of Multi-Dimensional Quantized SDE’s | 2011-03-30 | Paper |
| Fractal functional quantization of mean-regular stochastic processes | 2011-01-17 | Paper |
| Approximation of the distribution of a stationary Markov process with application to option pricing | 2010-11-15 | Paper |
| WHEN ARE SWING OPTIONS BANG-BANG? | 2010-09-21 | Paper |
| Unconstrained recursive importance sampling | 2010-08-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3549877 | 2010-03-29 | Paper |
| Distortion mismatch in the quantization of probability measures | 2010-03-15 | Paper |
| Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC | 2010-02-15 | Paper |
| Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling | 2010-01-06 | Paper |
| Moment estimates for Lévy processes | 2009-11-20 | Paper |
| A penalized bandit algorithm | 2009-11-20 | Paper |
| Expansions for Gaussian processes and Parseval frames | 2009-11-20 | Paper |
| Dual Quantization for random walks with application to credit derivatives | 2009-10-29 | Paper |
| Optimal Quantization for the Pricing of Swing Options | 2009-09-13 | Paper |
| Optimal Quantization for Finance: From Random Vectors to Stochastic Processes | 2009-06-05 | Paper |
| Mathematics and Finance | 2008-09-29 | Paper |
| How Fast Is the Bandit? | 2008-06-12 | Paper |
| Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications | 2008-06-11 | Paper |
| Functional quantization rate and mean regularity of processes with an application to Lévy processes | 2008-04-23 | Paper |
| High-resolution product quantization for Gaussian processes under sup-norm distortion | 2008-02-06 | Paper |
| Discretization and Simulation of the Zakai Equation | 2008-01-07 | Paper |
| Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity | 2007-07-27 | Paper |
| Optimal quantizers for Radon random vectors in a Banach space | 2007-02-14 | Paper |
| Quantization of probability distributions under norm-based distortion measures. II: Self-similar distributions | 2006-05-16 | Paper |
| Functional quantization of a class of Brownian diffusions: a constructive approach | 2006-04-28 | Paper |
| Optimal quantization methods for nonlinear filtering with discrete-time observations | 2006-03-23 | Paper |
| A two armed bandit type problem revisited | 2006-03-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3374068 | 2006-03-09 | Paper |
| Functional quantization for numerics with an application to option pricing | 2006-01-24 | Paper |
| Error analysis of the optimal quantization algorithm for obstacle problems. | 2005-11-29 | Paper |
| A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS | 2005-08-17 | Paper |
| Quantization of probability distributions under norm-based distortion measures | 2005-07-01 | Paper |
| AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS | 2005-03-21 | Paper |
| Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers | 2005-01-14 | Paper |
| Sharp asymptotics of the Kolmogorov entropy for Gaussian measures | 2004-10-01 | Paper |
| Sharp asymptotics of the functional quantization problem for Gaussian processes. | 2004-09-15 | Paper |
| When can the two-armed bandit algorithm be trusted? | 2004-09-15 | Paper |
| A quantization algorithm for solving multidimensional discrete-time optimal stopping problems | 2004-06-10 | Paper |
| RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT | 2004-06-09 | Paper |
| Functional quantization and small ball probabilities for Gaussian processes | 2004-03-15 | Paper |
| Optimal quadratic quantization for numerics: the Gaussian case | 2003-10-27 | Paper |
| Decreasing step Stochastic algorithms: a.s. behaviour of weighted empirical measures | 2003-09-30 | Paper |
| Functional quantization of Gaussian processes | 2003-03-26 | Paper |
| Recursive computation of the invariant distribution of a diffusion | 2003-03-13 | Paper |
| Asymptotics of optimal quantizers for some scalar distributions | 2003-02-23 | Paper |
| First-Order Schemes in the Numerical Quantization Method | 2003-01-01 | Paper |
| Sur quelques algorithmes récursifs pour les probabilités numériques | 2002-06-11 | Paper |
| Convergence of the one-dimensional Kohonen algorithm | 2002-03-06 | Paper |
| A stochastic quantization method for nonlinear problems | 2001-01-01 | Paper |
| Asymptotic Behavior of a Markovian Stochastic Algorithm with Constant Step | 1999-11-23 | Paper |
| Rate of convergence for computing expectations of stopping functionals of an α-mixing process | 1999-07-04 | Paper |
| Theoretical aspects of the SOM algorithm | 1999-01-06 | Paper |
| About the multidimensional competitive learning vector quantization algorithm with constant gain | 1998-08-09 | Paper |
| A space quantization method for numerical integration | 1998-07-28 | Paper |
| Convergence of stochastic algorithms: from the Kushner–Clark theorem to the Lyapounov functional method | 1998-02-22 | Paper |
| Convergence presque sûre de l'algorithme de Kohonen unidimensionnel | 1997-10-08 | Paper |
| Sequences with low discrepancy and pseudo-random numbers:theoretical results and numerical tests | 1997-10-05 | Paper |
| On the a.s. convergence of the Kohonen algorithm with a general neighborhood function | 1997-05-12 | Paper |
| Convergence in Distribution of the One-Dimensional Kohonen Algorithms when the Stimuli are not Uniform | 1994-05-12 | Paper |
| Self-organization and a.s. convergence of the one-dimensional Kohonen algorithm with non-uniformly distributed stimuli | 1994-01-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3142702 | 1994-01-09 | Paper |
| Van der Corput sequences, Kakutani transforms and one-dimensional numerical integration | 1993-05-16 | Paper |
| Sur l'approximation des réduites. (On the approximation of residues) | 1990-01-01 | Paper |
| Sequences with low discrepancy generalisation and application to bobbins-monbo algorithm | 1990-01-01 | Paper |
| Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\) | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3831101 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3749845 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3702213 | 1985-01-01 | Paper |
