Functional quantization-based stratified sampling methods

DOI10.1515/mcma-2014-0010zbMath1310.65005arXiv1008.4441OpenAlexW3122216272MaRDI QIDQ2260450

Sylvain Corlay, Gilles Pagès

Publication date: 10 March 2015

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.4441

zbMATH Keywords

stratificationalgorithmnumerical integrationBrownian motionprincipal component analysisGaussian processoption pricingBrownian bridgeOrnstein-Uhlenbeck processMonte Carlo simulationVoronoi diagramvariance reductionvector quantizationKarhunen-Loèvepath-dependent optionfunctional quantizationOrnstein-Uhlenbeck bridgeproduct quantizer

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65)

Related Items

A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations ⋮ Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options ⋮ An estimate of average case approximation complexity for tensor degrees of random processes ⋮ Extreme-strike asymptotics for general Gaussian stochastic volatility models ⋮ Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes ⋮ Karhunen-Loève expansions of \(\alpha\)-Wiener bridges ⋮ Partial functional quantization and generalized bridges ⋮ Karhunen-Loève expansion for a generalization of Wiener bridge ⋮ Sharp asymptotic and finite-sample rates of convergence of empirical measures in Wasserstein distance ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models