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

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

Harald Luschgy2005

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Articlebronze2005

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

Harald Luschgy · Gilles Pagès

46 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Mathematical Approximation and Integration advanced mathematical theories

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References

2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1989Brownian Motion and Stochastic Calculus.1978On the Gap Between Deterministic and Stochastic Ordinary Differential Equations 1984Applications of the Malliavin Calculus, Part I 2003Optimal quadratic quantization for numerics: the Gaussian case 2005Functional quantization for numerics with an application to option pricing

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2008Functional quantization rate and mean regularity of processes with an application to Lévy processes 2008Functional quantization rate and mean regularity of processes with an application to Lévy processes

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Year2005

Typearticle

Published2005-10-26

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations46

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2005.09.003

openalex_workW2001543036

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