New weak error bounds and expansions for optimal quantization
From MaRDI portal
Publication:2297129
DOI10.1016/j.cam.2019.112670zbMath1493.65012arXiv1903.10330MaRDI QIDQ2297129
Gilles Pagès, Thibaut Montes, Vincent Lemaire
Publication date: 18 February 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.10330
numerical integration; Monte Carlo simulation; variance reduction; weak error; Romberg extrapolation; optimal quantization
65C05: Monte Carlo methods
60-08: Computational methods for problems pertaining to probability theory
60G35: Signal detection and filtering (aspects of stochastic processes)
65C30: Numerical solutions to stochastic differential and integral equations
60E99: Distribution theory
Related Items
Limiting behavior of the gap between the largest two representative points of statistical distributions, Three kinds of discrete approximations of statistical multivariate distributions and their applications, Properties and generation of representative points of the exponential distribution
Cites Work
- Unnamed Item
- Unnamed Item
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- A space quantization method for numerical integration
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- Numerical probability. An introduction with applications to finance
- Foundations of quantization for probability distributions
- A stochastic quantization method for nonlinear problems
- Quantization of probability distributions under norm-based distortion measures
- Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
- Optimal quadratic quantization for numerics: the Gaussian case
- Recursive marginal quantization of higher-order schemes
- Distortion mismatch in the quantization of probability measures
- Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Introduction to vector quantization and its applications for numerics
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Optimal investment in derivative securities
