] | Hosted by cogitel-forum. |
|
|
|
|
Publications
Filters: Author is Gilles Pagès [Clear All Filters]
"A quantization algorithm for solving multidimensional optimal stopping problems, preprint",
University de Paris VI, pp. 1003–1049, 2001.
Abstract
"A stochastic quantization method for nonlinear problems",
Monte Carlo Methods and Applications, vol. 7(1), pp. 21-34, 2001.
Abstract
"A quantization tree method for pricing and hedging multidimensional American options",
Mathematical Finance, vol. 15, no. 1, pp. 119-168, 2005.
Abstract
Download: Quantization-Tree.pdf (483.24 KB)
"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)
"Optimal quantization for the pricing of swing options",
Applied Mathematical Finance, vol. 16, issue 2, pp. 183-217, 2009.
Abstract
Functional quantization based stratified sampling methods,
, 2010.
Abstract
Download: functional_stratif.pdf (665.41 KB)
"Local distortion and µ-mass of the cells of one dimensional asymptotically optimal quantizers",
Communications in Statistics. Theory and Methods, vol. 33(5), 2004.
Abstract
"Quantization of probability distributions under norm-based distortion measures II: Self-similar distributions",
Journal of Mathematical Analysis and Applications, vol. 318, no. 2, pp. 507 - 516, 2006.
Abstract
"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
"Functional quantization and small balls probabilities for Gaussian processes",
Journal of Theoretical Probability, vol. 16(4), 2003.
Abstract
"Optimal quantizers for Radon random vectors in a Banach space",
J. Approx. Theory, vol. 144, no. 1, Orlando, FL, USA, Academic Press, Inc., pp. 27–53, 2007.
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
"Sharp asymptotics of the Kolmogorov entropy for Gaussian measures",
Journal of Functional Analysis, vol. 212, no. 1, pp. 89 - 120, 2004.
Abstract
"Functional quantization of Gaussian processes",
Journal of Functional Analysis, vol. 196, no. 2: Academic Press, pp. 486–531, December, 2002.
Abstract
"Fractal functional quantization of mean-regular stochastic processes",
Mathematical Proceedings of the Cambridge Philosophical Society, 2010.
Abstract
"Asymptotically optimal quantization schemes for Gaussian processes",
ESAIM: PS, vol. 14, pp. 93 - 116, 2010.
Abstract
"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
Sharp asymptotics of the functional quantization problem for Gaussian processes,
, vol. 32, no. 2, 2004.
Abstract