Brownian motion simulation: a quantization approach

DOI10.1080/00949655.2014.903490zbMath1458.60091OpenAlexW2008769377MaRDI QIDQ5220828

Luis A. Salomón Hernández, Jean-Claude Fort

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.903490

zbMATH Keywords

functional quantizationsimulation of Wiener process

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Brownian motion (60J65)

Cites Work

• Unnamed Item
• Asymptotic behavior of the distortion-rate function for Gaussian processes in Banach spaces
• Functional quantization and small ball probabilities for Gaussian processes
• Functional quantization of Gaussian processes
• On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces
• Sharp asymptotics of the functional quantization problem for Gaussian processes.
• Sharp asymptotics of the Kolmogorov entropy for Gaussian measures
• Functional quantization rate and mean regularity of processes with an application to Lévy processes
• Asymptotic behavior of the eigenvalues of certain integral equations. II
• Local Distortion andμ-Mass of the Cells of One Dimensional Asymptotically Optimal Quantizers
• Functional quantization for numerics with an application to option pricing

This page was built for publication: Brownian motion simulation: a quantization approach