Marginal and Functional Quantization of Stochastic Processes
Springer
ISBN 978-3-031-45463-9
Standardpreis
Bibliografische Daten
Fachbuch
Buch. Hardcover
2023
14 s/w-Abbildungen, 25 Farbabbildungen, Bibliographien.
In englischer Sprache
Umfang: xviii, 912 S.
Format (B x L): 15,5 x 23,5 cm
Gewicht: 1836
Verlag: Springer
ISBN: 978-3-031-45463-9
Weiterführende bibliografische Daten
Das Werk ist Teil der Reihe: Probability Theory and Stochastic Modelling; 105
Produktbeschreibung
In contrast, Functional Quantization, a more recent area of study dating back to the early 2000s, focuses on the quantization of continuous-time stochastic processes viewed as random vectors in Banach function spaces. This book distinguishes itself by delving into the quantization of random vectors with values in a Banach space—a unique feature of its content.
Its main objectives are twofold: first, to offer a comprehensive and cohesive overview of the latest developments as well as several new results in optimal quantization theory, spanning both finite and infinite dimensions, building upon the advancements detailed in Graf and Luschgy's Lecture Notes volume. Secondly, it serves to demonstrate how optimal quantization can be employed as a space discretization method within probability theory and numerical probability, particularly in fields like quantitative finance. The main applications to numerical probability are the controlled approximation of regular and conditional expectations by quantization-based cubature formulas, with applications to time-space discretization of Markov processes, typically Brownian diffusions, by quantization trees.
While primarily catering to mathematicians specializing in probability theory and numerical probability, this monograph also holds relevance for data scientists, electrical engineers involved in data transmission, and professionals in economics and logistics who are intrigued by optimal allocation problems.
Autorinnen und Autoren
Kundeninformationen
State of the art monograph on the quantization of stochastic processes Contains applications to numerical probability and mathematical finance Presents deep connections between optimal quantization and information theory
Produktsicherheit
Hersteller
Springer Nature Customer Service Center GmbH
ProductSafety@springernature.com