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Publications
"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
"High resolution quantization and entropy coding of jump processes",
Journal of Complexity, vol. 25, pp. 163-187, 2009.
Abstract
Intrinsic stationarity for vector quantization: Foundation of dual quantization,
, 2010.
Abstract
Download: Foundation of dual quantization.pdf (962.7 KB)
"Least squares quantization in PCM",
Information Theory, IEEE Transactions on, vol. 28, no. 2, pp. 129–137, 1982.
Abstract
"Linear transformations and the k-means clustering algorithm: applications to clustering curves",
Am Stat., vol. 61(1), pp. 34–40, 2007.
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
"Multidimensional asymptotic quantization theory with $r$th power distortion measures",
Information Theory, IEEE Transactions on , vol. 28, issue 2, pp. 239 - 247, 1982.
Abstract
The Nyström method for functional quantization with an application to the fractional Brownian motion,
, 2010.
Abstract
Download: nystrom_quantization.pdf (457.33 KB)
"On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces",
Journal of Theoretical Probability, vol. 16(1), 2003.
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 : 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)
"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