A Constructive Sharp Approach to Functional Quantization of Stochastic Processes

Stefan Junglen and Harald Luschgy

Journal of Applied Mathematics, 2010, vol. 2010, issue 1

Abstract: 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.

Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2010/378519

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2010:y:2010:i:1:n:378519

Access Statistics for this article

More articles in Journal of Applied Mathematics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().