Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering

Abstract : We take advantage of recent (see~\cite{GraLusPag1, PagWil}) and new results on optimal quantization theory to improve the quadratic optimal quantization error bounds for backward stochastic differential equations (BSDE) and nonlinear filtering problems. For both problems, a first improvement relies on a Pythagoras like Theorem for quantized conditional expectation. While allowing for some locally Lipschitz functions conditional densities in nonlinear filtering, the analysis of the error brings into playing a new robustness result about optimal quantizers, the so-called distortion mismatch property: $L^r$-quadratic optimal quantizers of size $N$ behave in $L^s$ in term of mean error at the same rate $N^{-\frac 1d}$, $0
Type de document :
Pré-publication, Document de travail
2015
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-01211285
Contributeur : Abass Sagna <>
Soumis le : mercredi 19 juillet 2017 - 23:13:20
Dernière modification le : jeudi 27 juillet 2017 - 01:11:39

Fichiers

SPA_3147_Long.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-01211285, version 3
  • ARXIV : 1510.01048

Collections

Citation

Gilles Pagès, Abass Sagna. Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering. 2015. <hal-01211285v3>

Partager

Métriques

Consultations de
la notice

21

Téléchargements du document

8