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Publications
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"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)
CVaR hedging using quantization based stochastic approximation algorithm,
, 2010.
Abstract
Download: CVaR_hedging.pdf (369.08 KB)
Intrinsic stationarity for vector quantization: Foundation of dual quantization,
, 2010.
Abstract
Download: Foundation of dual quantization.pdf (962.7 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)
"The quantization of the Cantor distribution",
Math. Nachrichten, vol. 183, pp. 113-133, 1997.
Abstract
"Small ball probabilities around random centers of Gaussian measures and applications to quantization",
J. Theor. Probab., vol. 16(2), pp. 427-449, 2003.
Abstract
"A stochastic quantization method for nonlinear problems",
Monte Carlo Methods and Applications, vol. 7(1), pp. 21-34, 2001.
Abstract
"Construction of optimal quantizers for Gaussian measures on Banach spaces",
Mathematik: Universität Trier, 2008.
Abstract