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- W4300518086 abstract "We take advantage of recent 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 $N^{-frac 1d}$, $0<s< r+d$." @default.
- W4300518086 created "2022-10-03" @default.
- W4300518086 creator A5090083053 @default.
- W4300518086 date "2015-10-05" @default.
- W4300518086 modified "2023-09-23" @default.
- W4300518086 title "Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering" @default.
- W4300518086 doi "https://doi.org/10.48550/arxiv.1510.01048" @default.
- W4300518086 hasPublicationYear "2015" @default.
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