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The Nyström method for functional quantization with an application to the fractional Brownian motion

Abstract : In this article, the so-called "Nyström method" is tested to compute optimal quantizers of Gaussian processes. In particular, we derive the optimal quantization of the fractional Brownian motion by approximating the first terms of its Karhunen-Loève decomposition. A numerical test of the "functional stratification" variance reduction algorithm is performed with the fractional Brownian motion.
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https://hal.archives-ouvertes.fr/hal-00515488
Contributor : Sylvain Corlay <>
Submitted on : Tuesday, September 7, 2010 - 10:31:24 AM
Last modification on : Wednesday, December 9, 2020 - 3:14:42 PM
Long-term archiving on: : Wednesday, December 8, 2010 - 2:36:28 AM

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  • HAL Id : hal-00515488, version 1
  • ARXIV : 1009.1241

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Sylvain Corlay. The Nyström method for functional quantization with an application to the fractional Brownian motion. 2010. ⟨hal-00515488⟩

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