Functional quantization of a class of Brownian diffusions: A constructive approach

Harald Luschgy and Gilles Pagès

Stochastic Processes and their Applications, 2006, vol. 116, issue 2, 310-336

Abstract: The functional quantization problem for one-dimensional Brownian diffusions on [0,T] is investigated. One shows under rather general assumptions that the rate of convergence of the Lp-quantization error is like for the Brownian motion. Several methods to construct some rate-optimal quantizers are proposed. These results are extended to d-dimensional diffusions when the diffusion coefficient is the inverse of a gradient function. Finally, a special attention is given to diffusions with a Gaussian martingale term.

Keywords: Functional; quantization; Optimal; quantizers; Brownian; diffusions; Lamperti; transform; Girsanov; theorem (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (12)

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