Hosted by cogitel-forum. |
Publications
"Sharp asymptotics of the Kolmogorov entropy for Gaussian measures",
Journal of Functional Analysis, vol. 212, no. 1, pp. 89 - 120, 2004.
Abstract
"Local distortion and µ-mass of the cells of one dimensional asymptotically optimal quantizers",
Communications in Statistics. Theory and Methods, vol. 33(5), 2004.
Abstract
"Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation",
Monte Carlo methods and Applications, vol. 11(1), pp. 57-81, 2005.
Abstract
Download: Quantization filter process optimal stopping.pdf (345.93 KB)
"Entropy-constrained functional quantization of Gaussian measures",
Proceedings AMS, vol. 133, pp. 3403-3409 , 2005.
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)
"Méthodes de quantification optimale pour le filtrage et applications à la finance",
Applied mathematics: Université Paris Dauphine, 2005.
Abstract
Download: PhD_AfefSELLAMI.pdf (1.35 MB)Introduction_Sellami.pdf (248.72 KB)
"Optimal quantization methods for nonlinear filtering with discrete-time observations",
Bernoulli, vol. 11(5), 2005.
Abstract
"The point density measure in the quantization of self-similar probabilities",
Math. Proc. Cambridge Phil. Soc. , vol. 138, pp. 513-531, 2005.
"A quantization tree method for pricing and hedging multidimensional American options",
Mathematical Finance, vol. 15, no. 1, pp. 119-168, 2005.
Abstract
Download: Quantization-Tree.pdf (483.24 KB)
"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
"Optimal quantization : evolutionary algorithm vs stochastic gradient",
Proceedings of the 9th Joint Conference on Information Sciences: Atlantic Press, 2006.
Abstract
Download: Evolutionary-Algorithms.pdf (195.2 KB)
"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)
"Quantization of probability distributions under norm-based distortion measures II: Self-similar distributions",
Journal of Mathematical Analysis and Applications, vol. 318, no. 2, pp. 507 - 516, 2006.
Abstract
"Linear transformations and the k-means clustering algorithm: applications to clustering curves",
Am Stat., vol. 61(1), pp. 34–40, 2007.
Abstract
"Optimal quantizers for Radon random vectors in a Banach space",
J. Approx. Theory, vol. 144, no. 1, Orlando, FL, USA, Academic Press, Inc., pp. 27–53, 2007.
Abstract
"Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches",
Journal of Statistical Computation and Simulation, vol. 78, issue 2, pp. 93-113, 2008.
Abstract
"Construction of optimal quantizers for Gaussian measures on Banach spaces",
Mathematik: Universität Trier, 2008.
Abstract
"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