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

Sylvain Corlay

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arXiv · 1009.1241

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

Sylvain Corlay

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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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Sylvain Corlay. 2010-09-07. The Nyström method for functional quantization with an application to the fractional Brownian motion. https://arxiv.org/abs/1009.1241

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