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Publications
"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)
Functional quantization based stratified sampling methods,
, 2010.
Abstract
Download: functional_stratif.pdf (665.41 KB)
"Functional quantization and small balls probabilities for Gaussian processes",
Journal of Theoretical Probability, vol. 16(4), 2003.
Abstract
"Fractal functional quantization of mean-regular stochastic processes",
Mathematical Proceedings of the Cambridge Philosophical Society, 2010.
Abstract
Foundations of quantization for probability distributions,
, Secaucus, NJ, USA, Springer-Verlag New York, Inc., 2000.
Abstract
"A forward–backward stochastic algorithm for quasi-linear PDEs",
Annals of Applied Probability, vol. 16(1), pp. 140-184, 2006.
Abstract
"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)
"Error analysis of the quantization algorithm for obstacle problems",
Stochastic Processes & Their Applications, vol. 106(1), 2003.
Abstract
"Entropy-constrained functional quantization of Gaussian measures",
Proceedings AMS, vol. 133, pp. 3403-3409 , 2005.
Abstract
CVaR hedging using quantization based stochastic approximation algorithm,
, 2010.
Abstract
Download: CVaR_hedging.pdf (369.08 KB)
Convergence of multi-dimensional quantized SDE's,
, 2010.
Abstract
Download: Pages_Sellami_Quantized_SDE.pdf (356.05 KB)
Convergence of distributed asynchronous learning vector quantization algorithms,
, 2010.
Abstract
Download: AsyncStochGradient.pdf (498.47 KB)
"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)
"Construction of optimal quantizers for Gaussian measures on Banach spaces",
Mathematik: Universität Trier, 2008.
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
"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
"Asymptotics of the quantization errors for self-similar probabilities",
Real Analysis Exchange 26, vol. 26(2), pp. 795-810, 2001.
"Asymptotics of optimal quantizers for some scalar distributions",
J. Comput. Appl. Math., vol. 146, no. 2, Amsterdam, The Netherlands, The Netherlands, Elsevier Science Publishers B. V., pp. 253–275, 2002.
Abstract
"Asymptotically optimal quantization schemes for Gaussian processes",
ESAIM: PS, vol. 14, pp. 93 - 116, 2010.
Abstract
"Asymptotic quantization error of continuous signals and the quantization dimension",
IEEE Trans. Inform. Theory, vol. IT-28, no. 2, pp. 139–149, March, 1982.
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)