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Publications
Filters: Author is Gilles Pagès [Clear All Filters]
"A quantization algorithm for solving multidimensional optimal stopping problems, preprint",
University de Paris VI, pp. 1003–1049, 2001.
Abstract
"Asymptotically optimal quantization schemes for Gaussian processes",
ESAIM: PS, vol. 14, pp. 93 - 116, 2010.
Abstract
"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
Convergence of multi-dimensional quantized SDE's,
, 2010.
Abstract
Download: Pages_Sellami_Quantized_SDE.pdf (356.05 KB)
CVaR hedging using quantization based stochastic approximation algorithm,
, 2010.
Abstract
Download: CVaR_hedging.pdf (369.08 KB)
"Error analysis of the quantization algorithm for obstacle problems",
Stochastic Processes & Their Applications, vol. 106(1), 2003.
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)
"Fractal functional quantization of mean-regular stochastic processes",
Mathematical Proceedings of the Cambridge Philosophical Society, 2010.
Abstract
"Functional quantization and small balls probabilities for Gaussian processes",
Journal of Theoretical Probability, vol. 16(4), 2003.
Abstract
Functional quantization based stratified sampling methods,
, 2010.
Abstract
Download: functional_stratif.pdf (665.41 KB)
"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 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 of Gaussian processes",
Journal of Functional Analysis, vol. 196, no. 2: Academic Press, pp. 486–531, December, 2002.
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
Intrinsic stationarity for vector quantization: Foundation of dual quantization,
, 2010.
Abstract
Download: Foundation of dual quantization.pdf (962.7 KB)
"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
"An optimal Markovian quantization algorithm for multidimensional stochastic control problems",
Stochastics and Dynamics, vol. 4(4), pp. 501-545, 2004.
Abstract
"Optimal quadratic quantization for numerics: the Gaussian case",
Monte Carlo Methods and Applications, vol. 9, pp. 135–166, 2003.
Abstract
Download: Gaussian Case.pdf (563.34 KB)
"Optimal quantization for Finance: from random vectors to stochastic processes",
Handbook of Numerical Analysis, vol. 15, 2008.
Abstract
Download: Handbook_2008_Quantization_in_finance.pdf (478.77 KB)
"Optimal quantization for the pricing of swing options",
Applied Mathematical Finance, vol. 16, issue 2, pp. 183-217, 2009.
Abstract