10 citations · 15 across the 10 of their papers we have counts for
8 papers · 1 filter
A general weak and strong error analysis of the recursive quantization with an application to jump diffusions
Gilles Pagès, Abass Sagna
Observing that the recent developments of the recursive (product) quantization method induces a family of Markov chains which includes all standard discretization schemes of diffus…
Product Markovian quantization of an R^d -valued Euler scheme of a diffusion process with applications to finance
Fiorin Lucio, Gilles Pagès, Abass Sagna
We introduce a new approach to quantize the Euler scheme of an -valued diffusion process. This method is based on a Markovian and componentwise product quantization a…
Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
Gilles Pagès
We take advantage of recent and new results on optimal quantization theory to improve the quadratic optimal quantization error bounds for backward stochastic differential equations…
Recursive marginal quantization of the Euler scheme of a diffusion process
Gilles Pagès, Abass Sagna
We propose a new approach to quantize the marginals of the discrete Euler diffusion process. The method is built recursively and involves the conditional distribution of the margin…
Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method
Christophe Pofeta, Abass Sagna
The model consists of a signal process which is a general Brownian diffusion process and an observation process , also a diffusion process, which is supposed to be correlate…
Quantization based recursive Importance Sampling
Noufel Frikha, Abass Sagna
We investigate in this paper an alternative method to simulation based recursive importance sampling procedure to estimate the optimal change of measure for Monte Carlo simulations…