Home

Publications

Export 76 results:
Sort by: Author Title Type [ Year (Desc)]
2011
Gilles Pagès, and Benedikt Wilbertz, Optimal Delaunay and Voronoi quantization schemes for pricing American style options., , 2011. Abstract
Romain Azaïs, Anne Gégout-Petit, and Jérôme Saracco, Optimal quantization applied to sliced inverse regression, , 2011. Abstract
Sylvain Corlay, Partial functional quantization and generalized bridges, , 2011. Abstract  Download: partial quantization.pdf (392.92 KB)
2010
Harald Luschgy, Gilles Pagès, and Benedikt Wilbertz, "Asymptotically optimal quantization schemes for Gaussian processes", ESAIM: PS, vol. 14, pp. 93 - 116, 2010. Abstract
Stefan Junglen, and Harald Luschgy, "A constructive sharp approach to functional quantization of stochastic processes", Journal of Applied Mathematics, vol. 2010, 2010. Abstract  Download: Constructive functional quantization.pdf (1.03 MB)
Benoît Patra, Convergence of distributed asynchronous learning vector quantization algorithms, , 2010. Abstract  Download: AsyncStochGradient.pdf (498.47 KB)
Afef Sellami, and Gilles Pagès, Convergence of multi-dimensional quantized SDE's, , 2010. Abstract  Download: Pages_Sellami_Quantized_SDE.pdf (356.05 KB)
Olivier Bardou, Noufel Frikha, and Gilles Pagès, CVaR hedging using quantization based stochastic approximation algorithm, , 2010. Abstract  Download: CVaR_hedging.pdf (369.08 KB)
Harald Luschgy, Siegfried Graf, and Gilles Pagès, "Fractal functional quantization of mean-regular stochastic processes", Mathematical Proceedings of the Cambridge Philosophical Society, 2010. Abstract
Sylvain Corlay, and Gilles Pagès, Functional quantization based stratified sampling methods, , 2010. Abstract  Download: functional_stratif.pdf (665.41 KB)
Steffen Dereich, and Christian Vormoor, The high resolution vector quantization problem with Orlicz norm distortion, , 2010. Abstract
Gilles Pagès, and Benedikt Wilbertz, Intrinsic stationarity for vector quantization: Foundation of dual quantization, , 2010. Abstract  Download: Foundation of dual quantization.pdf (962.7 KB)
Benoîte de Saporta, François Dufour, and Karen Gonzalez, Numerical method for optimal stopping of piecewise deterministic Markov processes, , 2010. Abstract
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)
Abass Sagna, Pricing of barrier options by marginal functional quantization, , 2010. Abstract  Download: Pricing barrier options by marginal functional quantization.pdf (168.74 KB)
Afef Sellami, "Quantization based filtering method using first order approximation", SIAM journal on numerical analysis, vol. 47, issue 6, pp. 4711-4734 , 2010. Abstract
Gilles Pagès, and Benedikt Wilbertz, Sharp rate for the dual quantization problem, , 2010. Abstract
Antoine Lejay, and Victor Reutenauer, A variance reduction technique using a quantized Brownian motion as a control variate, , 2010. Abstract
2009
Giorgia Callegaro, and Abass Sagna, An application to credit risk of a hybrid Monte Carlo-Optimal quantization method, , 2009. Abstract
Gilles Pagès, and Benedikt Wilbertz, Dual Quantization for random walks with application to credit derivatives, , 2009. Abstract
Frank Aurzada, Steffen Dereich, Michael Scheutzow, and Christian Vormoor, "High resolution quantization and entropy coding of jump processes", Journal of Complexity, vol. 25, pp. 163-187, 2009. Abstract
Olivier Bardou, Sandrine Bouthemy, and Gilles Pagès, "Optimal quantization for the pricing of swing options", Applied Mathematical Finance, vol. 16, issue 2, pp. 183-217, 2009. Abstract
Harald Luschgy, and Siegfried Graf, "Quantization for probability measures in the Prokhorov metric", Theory Probab. Appl., vol. 53, pp. 216-241, 2009. Abstract
Abass Sagna, "Universal $L^s$-rate-optimality of $L^r$-optimal quantizers by dilatation and contraction", ESAIM: Probability and Statistics, vol. 13, pp. 218-246, 2009. Abstract
2008
Steffen Dereich, "The coding complexity of diffusion processes under Lp[0, 1]-norm distortion", Stochastic Processes and their Applications, vol. 118, issue 6, pp. 938-951, June, 2008. Abstract