scholarly journals Entropy-constrained functional quantization of Gaussian processes

2005 ◽  
Vol 133 (11) ◽  
pp. 3403-3409 ◽  
Author(s):  
Siegfried Graf ◽  
Harald Luschgy
Keyword(s):  
Gaussian Processes ◽  
Functional Quantization

scholarly journals Functional quantization of Gaussian processes

2002 ◽  
Vol 196 (2) ◽  
pp. 486-531 ◽  
Author(s):  
Harald Luschgy ◽  
Gilles Pagès
Keyword(s):  
Gaussian Processes ◽  
Functional Quantization

scholarly journals A Constructive Sharp Approach to Functional Quantization of Stochastic Processes

2010 ◽  
Vol 2010 ◽  
pp. 1-32 ◽  
Author(s):  
Stefan Junglen ◽  
Harald Luschgy
Keyword(s):  
Stochastic Processes ◽  
Gaussian Processes ◽  
Quantization Error ◽  
Path Space ◽  
Constructive Approach ◽  
Infinite Dimensional ◽  
Dimensional Quantization ◽  
Finite Dimensional ◽  
Functional Quantization ◽  
Quantization Problem

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.

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