| Title | The Nyström method for functional quantization with an application to the fractional Brownian motion |
| Publication Type | Journal Article |
| Year of Publication | 2010 |
| Authors | Sylvain Corlay |
| Keywords | Brownian bridge, Brownian motion, fractional Brownian motion, functional quantization, Gaussian process, Gaussian semi-martingale, integral equation, Karhunen-Loève basis, numerical integration, Nyström method, optimal quantization, Ornstein-Uhlenbeck, product quantization, stratification, Variance reduction, vector quantization |
| Abstract | In this article, the so-called "Nyström method" is tested to compute optimal quantizers of Gaussian processes. In particular, we derive the optimal quantization of the fractional Brownian motion by approximating the first terms of its Karhunen-Loève decomposition. |
| Attachment | Size |
|---|---|
| nystrom_quantization.pdf | 457.33 KB |
