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20042024
most citedMultilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction

98 citations · 308 across the 30 of their papers we have counts for

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Showing 2004Show all

2 papers · 1 filter

math.PR2004★ 5 cited

The quantization complexity of diffusion processes

Steffen Dereich

We investigate the high resolution coding problem for solutions of stochastic differential equations in the L^p[0,1]- and the C[0,1]-space. Tight asymptotic estimates are found und…

math.PR2004★ 10 cited

Probabilities of randomly centered small balls and quantization in Banach spaces

S. Dereich, M. A. Lifshits

We investigate the Gaussian small ball probabilities with random centers, find their deterministic a.s.-equivalents and establish a relation to infinite-dimensional high-resolution…