@article {CorlayNystrom,
	title = {The Nystr{\"o}m method for functional quantization with an application to the fractional Brownian motion},
	year = {2010},
	abstract = {In this article, the so-called "Nystr{\"o}m method" is tested to compute optimal quantizers of Gaussian processes. In particular, we derive the optimal quantization of the fractional Brownian motion by approximating the first terms of its Karhunen-Lo{\`e}ve decomposition. 
A numerical test of the "functional stratification" variance reduction algorithm is performed with the fractional Brownian motion.},
	keywords = {Brownian bridge, Brownian motion, fractional Brownian motion, functional quantization, Gaussian process, Gaussian semi-martingale, integral equation, Karhunen-Lo{\`e}ve basis, numerical integration, Nystr{\"o}m method, optimal quantization, Ornstein-Uhlenbeck, product quantization, stratification, Variance reduction, vector quantization},
	attachments = {http://quantif.maths-fi.com/sites/default/files/nystrom_quantization.pdf},
	author = {Sylvain Corlay}
}
