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Publications
Filters: First Letter Of Last Name is P [Clear All Filters]
"Functional quantization rate and mean pathwise regularity of processes with an application to Lévy processes",
Annals of Applied Probability, vol. 18, pp. 427-469, 2008.
Abstract
"Functional quantization of Gaussian processes",
Journal of Functional Analysis, vol. 196, no. 2: Academic Press, pp. 486–531, December, 2002.
Abstract
"Functional quantization of a class of Brownian diffusions: a constructive approach",
Stochastic Processes and their Applications, vol. 116, no. 2, pp. 310 - 336, 2006.
Abstract
"Functional quantization for numerics with an application to option pricing",
Monte Carlo Methods and Appl., vol. 11, no. 11, pp. 407-446, 2005.
Abstract
Download: Functional Quantization Num.pdf (531.76 KB)
Functional quantization based stratified sampling methods,
, 2010.
Abstract
Download: functional_stratif.pdf (665.41 KB)
"Functional quantization and small balls probabilities for Gaussian processes",
Journal of Theoretical Probability, vol. 16(4), 2003.
Abstract
"Fractal functional quantization of mean-regular stochastic processes",
Mathematical Proceedings of the Cambridge Philosophical Society, 2010.
Abstract
"First order schemes in the numerical quantization method",
Mathematical Finance, vol. 13, issue 1, pp. 1-16, 2003.
Abstract
Download: First Order Schmes.pdf (218.51 KB)
"Error analysis of the quantization algorithm for obstacle problems",
Stochastic Processes & Their Applications, vol. 106(1), 2003.
Abstract
CVaR hedging using quantization based stochastic approximation algorithm,
, 2010.
Abstract
Download: CVaR_hedging.pdf (369.08 KB)
Convergence of multi-dimensional quantized SDE's,
, 2010.
Abstract
Download: Pages_Sellami_Quantized_SDE.pdf (356.05 KB)
Convergence of distributed asynchronous learning vector quantization algorithms,
, 2010.
Abstract
Download: AsyncStochGradient.pdf (498.47 KB)
"Asymptotics of optimal quantizers for some scalar distributions",
J. Comput. Appl. Math., vol. 146, no. 2, Amsterdam, The Netherlands, The Netherlands, Elsevier Science Publishers B. V., pp. 253–275, 2002.
Abstract
"Asymptotically optimal quantization schemes for Gaussian processes",
ESAIM: PS, vol. 14, pp. 93 - 116, 2010.
Abstract
"Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation",
Monte Carlo methods and Applications, vol. 11(1), pp. 57-81, 2005.
Abstract
Download: Quantization filter process optimal stopping.pdf (345.93 KB)