Gassiat, Paul; Kharroubi, Idris; Pham, Huyên - In: Stochastic Processes and their Applications 122 (2012) 5, pp. 2019-2052
In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the … quantization numerical schemes for the space discretization of the discrete-time Euler state process. A Markovian quantization … approach relying on the optimal quantization of the normal distribution arising in the Euler scheme is analysed. In the …