2 papers
math.PR2025
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…
q-fin.MF2025
Strong Solutions and Quantization-Based Numerical Schemes for a Class of Non-Markovian Volatility Models
Martino Grasselli, Gilles Pagès
We investigate a class of non-Markovian processes that hold particular relevance in the realm of mathematical finance. This family encompasses path-dependent volatility models, inc…