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A Constructive Sharp Approach to Functional Quantization of Stochastic Processes
Joint Authors
Junglen, Stefan
Luschgy, Harald
Source
Journal of Applied Mathematics
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-32, 32 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-12-09
Country of Publication
Egypt
No. of Pages
32
Main Subjects
Abstract EN
We present a constructive approach to the functional quantization problem of stochastic processes, with an emphasis on Gaussian processes.
The approach is constructive, since we reduce the infinite-dimensional functional quantization problem to a finite-dimensional quantization problem that can be solved numerically.
Our approach achieves the sharp rate of the minimal quantization error and can be used to quantize the path space for Gaussian processes and also, for example, Lévy processes.
American Psychological Association (APA)
Junglen, Stefan& Luschgy, Harald. 2010. A Constructive Sharp Approach to Functional Quantization of Stochastic Processes. Journal of Applied Mathematics،Vol. 2010, no. 2010, pp.1-32.
https://search.emarefa.net/detail/BIM-467328
Modern Language Association (MLA)
Junglen, Stefan& Luschgy, Harald. A Constructive Sharp Approach to Functional Quantization of Stochastic Processes. Journal of Applied Mathematics No. 2010 (2010), pp.1-32.
https://search.emarefa.net/detail/BIM-467328
American Medical Association (AMA)
Junglen, Stefan& Luschgy, Harald. A Constructive Sharp Approach to Functional Quantization of Stochastic Processes. Journal of Applied Mathematics. 2010. Vol. 2010, no. 2010, pp.1-32.
https://search.emarefa.net/detail/BIM-467328
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-467328