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Publications
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The Nyström method for functional quantization with an application to the fractional Brownian motion,
, 2010.
Abstract
Download: nystrom_quantization.pdf (457.33 KB)
Partial functional quantization and generalized bridges,
, 2011.
Abstract
Download: partial quantization.pdf (392.92 KB)
Functional quantization based stratified sampling methods,
, 2010.
Abstract
Download: functional_stratif.pdf (665.41 KB)
"Small ball probabilities around random centers of Gaussian measures and applications to quantization",
J. Theor. Probab., vol. 16(2), pp. 427-449, 2003.
Abstract
"On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces",
Journal of Theoretical Probability, vol. 16(1), 2003.
Abstract
"Functional quantization of Gaussian processes",
Journal of Functional Analysis, vol. 196, no. 2: Academic Press, pp. 486–531, December, 2002.
Abstract
"Asymptotically optimal quantization schemes for Gaussian processes",
ESAIM: PS, vol. 14, pp. 93 - 116, 2010.
Abstract
"Pricing path-dependent options using optimized functional quantization",
Numerical Methods in Finance, 2006.
Download: Pricing Path Dependent Option Using Functional Quantization.pdf (762.71 KB)