4 papers
Optimal Bregman quantization : existence and uniqueness of optimal quantizers revisited
Guillaume Boutoille, Gilles Pagès
In this paper we revisit the exsistence theorem for -optimal quantization, , with respect to a Bregman divergence: we establish the existence of optimal quantizaers un…
Locally optimal Functional Quantization
Harald Luschgy, Gilles Pagès
In this note we demonstrate that locally optimal functional quantizers for probability distributions on a Banach space lying in the support of behave exactly like globally opti…
A new Input Convex Neural Network with application to options pricing
Vincent Lemaire, Gilles Pagès, Christian Yeo
We introduce a new class of neural networks designed to be convex functions of their inputs, leveraging the principle that any convex function can be represented as the supremum of…
Convex order for path-dependent derivatives: a dynamic programming approach
Gilles Pagès
We investigate the (functional) convex order of for various continuous martingale processes, either with respect to their diffusions coefficients for Lévy-driven SDEs or their inte…