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Publications
"High resolution quantization and entropy coding of jump processes",
Journal of Complexity, vol. 25, pp. 163-187, 2009.
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)
"A quantization algorithm for solving multidimensional optimal stopping problems, preprint",
University de Paris VI, pp. 1003–1049, 2001.
Abstract
"Error analysis of the quantization algorithm for obstacle problems",
Stochastic Processes & Their Applications, vol. 106(1), 2003.
Abstract
"A quantization tree method for pricing and hedging multidimensional American options",
Mathematical Finance, vol. 15, no. 1, pp. 119-168, 2005.
Abstract
Download: Quantization-Tree.pdf (483.24 KB)
"A stochastic quantization method for nonlinear problems",
Monte Carlo Methods and Applications, vol. 7(1), pp. 21-34, 2001.
Abstract
CVaR hedging using quantization based stochastic approximation algorithm,
, 2010.
Abstract
Download: CVaR_hedging.pdf (369.08 KB)
"Optimal quantization for the pricing of swing options",
Applied Mathematical Finance, vol. 16, issue 2, pp. 183-217, 2009.
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)
Functional quantization based stratified sampling methods,
, 2010.
Abstract
Download: functional_stratif.pdf (665.41 KB)
Partial functional quantization and generalized bridges,
, 2011.
Abstract
Download: partial quantization.pdf (392.92 KB)
"A forward–backward stochastic algorithm for quasi-linear PDEs",
Annals of Applied Probability, vol. 16(1), pp. 140-184, 2006.
Abstract
"Quantization of probability distributions under norm-based distortion measures II: Self-similar distributions",
Journal of Mathematical Analysis and Applications, vol. 318, no. 2, pp. 507 - 516, 2006.
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
"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
"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
"Small ball probabilities around random centers of Gaussian measures and applications to quantization",
J. Theor. Probab., vol. 16(2), pp. 427-449, 2003.
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
Vector quantization and signal compression,
: Kluwer Academic Press, 1992.