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41 documents ordered by : Date Title first author name document type Submit date

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Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation Lemaire V., Pagès G., Panloup F. (06/02/2013) [hal-00785766 - version 2]

Intrinsic stationarity for vector quantization: Foundation of dual quantization Pagès G., Wilbertz B. SIAM Journal on Numerical Analysis (2012) 50(2), 747-780 [hal-00528485 - version 2]

Asymptotics of the maximal radius of an $L^r$-optimal sequence of quantizers Pagès G., Sagna A. Bernoulli 18, 1 (2012) 360-389 [hal-00285172 - version 2]

The local quantization behaviour of absolutely continuous probabilities Graf S., Luschgy H., Pagès G. Annals of Probability 40, 4 (2012) 1795-1828 ; http://dx.doi.org/10.1214/11-AOP663 [hal-00521185 - version 1]

Ergodic approximation of the distribution of a stationary diffusion : rate of convergence Pagès G., Panloup F. Annals of Applied Probability 22, 3 (2012) 1059-1100 ; http://dx.doi.org/10.1214/11-AAP779 [hal-00512722 - version 1]

Dual Quantization for random walks with application to credit derivatives Pagès G., Wilbertz B. Journal of Computational Finance 16, 2 (2012) 33-60 ; [hal-00428523 - version 1]

Optimal posting price of limit orders: learning by trading Laruelle S., Lehalle C.-A., Pagès G. [hal-00650314 - version 2]

Optimal Delaunay and Voronoi quantization schemes for pricing American style options Pagès G., Wilbertz B. [hal-00572709 - version 1]

GPGPUs in computational finance: Massive parallel computing for American style options Pagès G., Wilbertz B. [hal-00556544 - version 1]

Randomized Urn Models revisited using Stochastic Approximation Laruelle S., Pagès G. (14/01/2011) [hal-00555752 - version 4]

Convergence of multi-dimensional quantized $SDE$'s Pagès G., Sellami A. Séminaire de Probabilités 2006 (Lecture Notes in Math.) (2011) 269-307 ; http://dx.doi.org/10.1007/978-3-642-15217-7_11 [hal-00202297 - version 2]

CVaR hedging using quantization based stochastic approximation algorithm Bardou O., Frikha N., Pagès G. [hal-00547776 - version 1]

Sharp rate for the dual quantization problem Pagès G., Wilbertz B. [hal-00547213 - version 2]

Stochastic Approximation with Averaging Innovation Applied to Finance Laruelle S., Pagès G. [hal-00504644 - version 4]

Unconstrained Recursive Importance Sampling Lemaire V., Pagès G. Annals of Applied Probability 20, 3 (2010) 1029-1067 ; http://dx.doi.org/10.1214/09-AAP650 [hal-00293466 - version 3]