Functional quantization of a class of Brownian diffusions: a constructive approach

DOI10.1016/j.spa.2005.09.003zbMath1091.60007MaRDI QIDQ2490063

Gilles Pagès, Harald Luschgy

Publication date: 28 April 2006

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2005.09.003

zbMATH Keywords

Girsanov theorem; Lamperti transform; Brownian diffusions; Functional quantization; Optimal quantizers

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60E99: Distribution theory

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Cites Work

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• The point density measure in the quantization of self-similar probabilities
• Optimal quadratic quantization for numerics: the Gaussian case
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