61 citations · 542 across the 63 of their papers we have counts for
6 papers · 1 filter
Quantization and martingale couplings
Benjamin Jourdain, Gilles Pagès
Quantization provides a very natural way to preserve the convex order when approximating two ordered probability measures by two finitely supported ones. Indeed, when the convex or…
Unadjusted Langevin algorithm with multiplicative noise: Total variation and Wasserstein bounds
Gilles Pages, Fabien Panloup
In this paper, we focus on non-asymptotic bounds related to the Euler scheme of an ergodic diffusion with a possibly multiplicative diffusion term (non-constant diffusion coefficie…
Optimal dual quantizers of -concave distributions: uniqueness and Lloyd like algorithm
Benjamin Jourdain, Gilles Pagès
We establish for dual quantization the counterpart of Kieffer's uniqueness result for compactly supported one dimensional probability distributions having a -concave density…
Functional convex order for the scaled McKean-Vlasov processes
Yating Liu, Gilles Pagès
We establish the functional convex order results for two scaled McKean-Vlasov processes and defined on a filtered probability spac…
New approach to greedy vector quantization
Rancy El Nmeir, Harald Luschgy, Gilles Pagès
We extend some rate of convergence results of greedy quantization sequences already investigated in arXiv:1409.0732 [math.PR]. We show, for a more general class of distributions sa…
Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization
Vincent Lemaire, Thibaut Montes, Gilles Pagès
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we int…