Home

Publications

Export 10 results:
Sort by: [ Author (Asc)] Title Type Year
Filters: Keyword is Gaussian process  [Clear All Filters]
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z   [Show ALL]
B
Anne Laure Bronstein, Gilles Pagès, and Benedikt Wilbertz, How to speed up the quantization tree algorithm with an application to swing options, , 2008. Abstract
C
Sylvain Corlay, The Nyström method for functional quantization with an application to the fractional Brownian motion, , 2010. Abstract  Download: nystrom_quantization.pdf (457.33 KB)
Sylvain Corlay, Partial functional quantization and generalized bridges, , 2011. Abstract  Download: partial quantization.pdf (392.92 KB)
Sylvain Corlay, and Gilles Pagès, Functional quantization based stratified sampling methods, , 2010. Abstract  Download: functional_stratif.pdf (665.41 KB)
D
Steffen Dereich, F. Fehringer, A. Matoussi, and M. Scheutzow, "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
Steffen Dereich, "Small ball probabilities around random centers of Gaussian measures and applications to quantization", J. Theor. Probab., vol. 16(2), pp. 427-449, 2003. Abstract
L
Harald Luschgy, Gilles Pagès, and Benedikt Wilbertz, "Asymptotically optimal quantization schemes for Gaussian processes", ESAIM: PS, vol. 14, pp. 93 - 116, 2010. Abstract
Harald Luschgy, and Gilles Pagès, High-resolution product quantization for Gaussian processes under sup-norm distortion, , 2005. Abstract
Harald Luschgy, and Gilles Pagès, "Functional quantization of Gaussian processes", Journal of Functional Analysis, vol. 196, no. 2: Academic Press, pp. 486–531, December, 2002. Abstract
P
Gilles Pagès, and Jacques Printems, "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)