61 citations · 542 across the 63 of their papers we have counts for
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math.PR2015★ 2 cited
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…
math.PR2015
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…