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

DOI10.1016/j.spa.2005.09.003zbMath1091.60007OpenAlexW2001543036MaRDI QIDQ2490063

Harald Luschgy, Gilles Pagès

Publication date: 28 April 2006

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2005.09.003

zbMATH Keywords

Girsanov theoremLamperti transformBrownian diffusionsFunctional quantizationOptimal quantizers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Distribution theory (60E99)

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