A constructive sharp approach to functional quantization of stochastic processes

TitleA constructive sharp approach to functional quantization of stochastic processes
Publication TypeJournal Article
Year of Publication2010
AuthorsStefan Junglen, and Harald Luschgy
JournalJournal of Applied Mathematics
Volume2010
Abstract

We present a constructive approach to the functional quantization problem of stochastic processes, with an emphasis on Gaussian processes. The approach is constructive, since we reduce the infinite-dimensional functional quantization problem to a finite-dimensional quantization problem that can be solved numerically. Our approach achieves the sharp rate of the minimal quantization error and can be used to quantize the path space for Gaussian processes and also, for example, Lévy processes.

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