Functional quantization of Gaussian processes

DOI10.1016/S0022-1236(02)00010-1zbMATH Open1027.60015MaRDI QIDQ1865334FDOQ1865334

Authors: Harald Luschgy, Gilles Pagès 

Publication date: 26 March 2003

Published in: Journal of Functional Analysis (Search for Journal in Brave)

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zbMATH Keywords

Gaussian processfractional Brownian motionstationary processesShannon-Kolmogorov entropyquantization of probability distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Coding theorems (Shannon theory) (94A24) Distribution theory (60E99) Rate-distortion theory in information and communication theory (94A34)

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Cited In (48)

• Quantization of stationary Gaussian random processes and their generalizations
• Estimation of the Sobol indices in a linear functional multidimensional model
• Fractal functional quantization of mean-regular stochastic processes
• A principal subspace theorem for 2-principal points of general location mixtures of spherically symmetric distributions
• Principal points of a multivariate mixture distribution
• Convergence of multi-dimensional quantized SDEs
• Reduced basis techniques for stochastic problems
• Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• Small ball probabilities for Gaussian random fields and tensor products of compact operators
• Sharp asymptotics of the metric entropy for ellipsoids
• Robust clustering tools based on optimal transportation
• The coding complexity of diffusion processes under supremum norm distortion
• Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes
• Sequential transforms associated with Gaussian processes on function space
• Optimal rates for parameter estimation of stationary Gaussian processes
• Random bit quadrature and approximation of distributions on Hilbert spaces
• A versatile technique for the optimal approximation of random processes by functional quantization
• Functional quantization for numerics with an application to option pricing
• Sharp asymptotics of the functional quantization problem for Gaussian processes.
• Sharp asymptotics of the Kolmogorov entropy for Gaussian measures
• Numerical approximation for a portfolio optimization problem under liquidity risk and costs
• Functional quantization rate and mean regularity of processes with an application to Lévy processes
• Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
• A constructive sharp approach to functional quantization of stochastic processes
• Functional Gaussian Approximation for Dependent Structures
• Entropy-constrained functional quantization of Gaussian processes
• Constructive quadratic functional quantization and critical dimension
• Quantization meets Fourier: a new technology for pricing options
• High-resolution quantization and entropy coding for fractional Brownian motion
• Optimal quantizers for Radon random vectors in a Banach space
• Uniform and non-uniform quantization of Gaussian processes
• Stochastic structure of asymptotic quantization errors
• High resolution quantization and entropy coding of jump processes
• Indefinite quadratic functionals of Gaussian processes and least-action paths
• Small ball probabilities around random centers of Gaussian measures and applications to quantization
• Functional quantization and small ball probabilities for Gaussian processes
• Higher-order terms in asymptotic expansion for information loss in quantized random processes
• Distortion mismatch in the quantization of probability measures
• Solving stochastic optimal control problems by a Wiener chaos approach
• Partial functional quantization and generalized bridges
• Pricing of barrier options by marginal functional quantization
• A parametric \(k\)-means algorithm
• Brownian motion simulation: a quantization approach
• High-resolution product quantization for Gaussian processes under sup-norm distortion
• Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function
• Functional quantization of a class of Brownian diffusions: a constructive approach
• Signature-Based Models: Theory and Calibration

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