| Title | A constructive sharp approach to functional quantization of stochastic processes |
| Publication Type | Journal Article |
| Year of Publication | 2010 |
| Authors | Stefan Junglen, and Harald Luschgy |
| Journal | Journal of Applied Mathematics |
| Volume | 2010 |
| 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. |
| Attachment | Size |
|---|---|
| Constructive functional quantization.pdf | 1.03 MB |
