A Constructive Sharp Approach to Functional Quantization of Stochastic Processes
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 s...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2010-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2010/378519 |
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| _version_ | 1832548925046784000 |
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| author | Stefan Junglen Harald Luschgy |
| author_facet | Stefan Junglen Harald Luschgy |
| author_sort | Stefan Junglen |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-e2e0e49b8da34fc89a154407b99e79e3 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2010-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-e2e0e49b8da34fc89a154407b99e79e32025-02-03T06:12:48ZengWileyJournal of Applied Mathematics1110-757X1687-00422010-01-01201010.1155/2010/378519378519A Constructive Sharp Approach to Functional Quantization of Stochastic ProcessesStefan Junglen0Harald Luschgy1FB4-Department of Mathematics, University of Trier, 54286 Trier, GermanyFB4-Department of Mathematics, University of Trier, 54286 Trier, GermanyWe 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.http://dx.doi.org/10.1155/2010/378519 |
| spellingShingle | Stefan Junglen Harald Luschgy A Constructive Sharp Approach to Functional Quantization of Stochastic Processes Journal of Applied Mathematics |
| title | A Constructive Sharp Approach to Functional Quantization of Stochastic Processes |
| title_full | A Constructive Sharp Approach to Functional Quantization of Stochastic Processes |
| title_fullStr | A Constructive Sharp Approach to Functional Quantization of Stochastic Processes |
| title_full_unstemmed | A Constructive Sharp Approach to Functional Quantization of Stochastic Processes |
| title_short | A Constructive Sharp Approach to Functional Quantization of Stochastic Processes |
| title_sort | constructive sharp approach to functional quantization of stochastic processes |
| url | http://dx.doi.org/10.1155/2010/378519 |
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