Abass Sagna

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions IMA Journal of Numerical Analysis	2022-05-17	Paper
Product Markovian quantization of a diffusion process with applications to finance Methodology and Computing in Applied Probability	2020-05-04	Paper
Recursive marginal quantization of the Euler scheme of a diffusion process Applied Mathematical Finance	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
Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering Stochastic Processes and their Applications	2018-02-13	Paper
Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method Stochastics	2015-07-29	Paper
Quantization based recursive importance sampling Monte Carlo Methods and Applications	2013-01-24	Paper
Pricing of barrier options by marginal functional quantization Monte Carlo Methods and Applications	2012-04-18	Paper
Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers Bernoulli	2012-03-29	Paper
UniversalL^s-rate-optimality ofL^r-optimal quantizers by dilatation and contraction ESAIM: Probability and Statistics	2010-01-21	Paper
UniversalL^s-rate-optimality ofL^r-optimal quantizers by dilatation and contraction ESAIM: Probability and Statistics	2010-01-21	Paper
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method	2009-07-03	Paper

Research outcomes over time

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