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Publications
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"Fractal functional quantization of mean-regular stochastic processes",
Mathematical Proceedings of the Cambridge Philosophical Society, 2010.
Abstract
Functional quantization based stratified sampling methods,
, 2010.
Abstract
Download: functional_stratif.pdf (665.41 KB)
"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
"A forward–backward stochastic algorithm for quasi-linear PDEs",
Annals of Applied Probability, vol. 16(1), pp. 140-184, 2006.
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)
"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)
"Functional quantization and small balls probabilities for Gaussian processes",
Journal of Theoretical Probability, vol. 16(4), 2003.
Abstract
"Functional quantization of Gaussian processes",
Journal of Functional Analysis, vol. 196, no. 2: Academic Press, pp. 486–531, December, 2002.
Abstract
Foundations of quantization for probability distributions,
, Secaucus, NJ, USA, Springer-Verlag New York, Inc., 2000.
Abstract