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A general weak and strong error analysis of the recursive quantization with an application to jump diffusions

Abstract : Observing that the recent developments of the recursive (product) quantization method induces a family of Markov chains which includes all standard discretization schemes of diffusions processes , we propose to compute a general error bound induced by the recursive quantization schemes using this generic markovian structure. Furthermore, we compute a marginal weak error for the recursive quantization. We also extend the recursive quantization method to the Euler scheme associated to diffusion processes with jumps, which still have this markovian structure, and we say how to compute the recursive quantization and the associated weights and transition weights.
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https://hal.archives-ouvertes.fr/hal-01863616
Contributor : Abass Sagna <>
Submitted on : Tuesday, August 28, 2018 - 5:57:46 PM
Last modification on : Friday, March 27, 2020 - 3:51:56 AM
Document(s) archivé(s) le : Thursday, November 29, 2018 - 4:16:09 PM

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NoteQ-QuadratureV1.pdf
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  • HAL Id : hal-01863616, version 1
  • ARXIV : 1808.09755

Citation

Gilles Pagès, Abass Sagna. A general weak and strong error analysis of the recursive quantization with an application to jump diffusions. 2018. ⟨hal-01863616⟩

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