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  • Search: subject:"quantization"
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Year of publication
Subject
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Quantization 25 Stochastic process 14 Stochastischer Prozess 14 Theorie 14 Theory 14 optimal quantization 9 quantization 9 Option pricing theory 8 Optionspreistheorie 8 Volatility 7 Volatilität 7 Markov chain 6 Markov-Kette 6 Mechanism design 6 Derivat 5 Derivative 5 Limited information 5 Nonlinear pricing 5 Information theory 4 Mathematical programming 4 Mathematische Optimierung 4 Neural networks 4 Neuronale Netze 4 Asymmetric information 3 Asymmetrische Information 3 Economics of information 3 Electronic trading 3 Elektronisches Handelssystem 3 Estimation theory 3 Incomplete information 3 Informationsökonomik 3 Mechanismus-Design-Theorie 3 Monopol 3 Monopoly 3 Multi-Dimension 3 Multi-product 3 Optimal quantization 3 Preisdifferenzierung 3 Preismanagement 3 Price discrimination 3
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Online availability
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Undetermined 58 Free 18
Type of publication
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Article 67 Book / Working Paper 15
Type of publication (narrower categories)
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Article in journal 25 Aufsatz in Zeitschrift 25 Arbeitspapier 6 Working Paper 6 Graue Literatur 4 Non-commercial literature 4 Aufsatz im Buch 2 Book section 2 research-article 1
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Language
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English 43 Undetermined 39
Author
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Bergemann, Dirk 6 Yeh, Edmund M. 6 Budiyono, Agung 4 Madan, Dilip B. 4 Pagès, Gilles 4 Shen, Ji 4 Xu, Yun 4 Callegaro, Giorgia 3 Charlier, Isabelle 3 Paindaveine, Davy 3 Saracco, Jérôme 3 Abi Jaber, Eduardo 2 Butler, Ronald W. 2 Dufour, François 2 Faugeras, Olivier 2 Grasselli, Martino 2 Kienitz, Jörg 2 Li, Shaun 2 Linder, Tamás 2 McWalter, Thomas A. 2 Morales, D. 2 Pham, Huyên 2 Pistorius, Martijn 2 Platen, Eckhard 2 Rudd, Ralph 2 Sagna, Abass 2 Schoutens, Wim 2 Vajda, I. 2 Wang, King 2 Zhang, Jinkun 2 Abaya, Efren F. 1 Abbasi, Alireza 1 Abergel, Frédéric 1 Aiqun, Hu 1 Andre, Monteiro 1 BARDOU, OLIVIER 1 BOUTHEMY, SANDRINE 1 Bagarello, F. 1 Baker, David M. 1 Baldacci, Bastien 1
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Institution
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Cowles Foundation for Research in Economics, Yale University 3 EconWPA 2 Department of Economics and Business, Universitat Pompeu Fabra 1 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1 HAL 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Physica A: Statistical Mechanics and its Applications 13 Stochastic Processes and their Applications 5 Quantitative finance 4 Computational Economics 3 Cowles Foundation Discussion Papers 3 Applied mathematical finance 2 Cowles Foundation discussion paper 2 ECARES working paper 2 International Journal of Computer Vision and Image Processing (IJCVIP) 2 International Journal of Digital Crime and Forensics (IJDCF) 2 Journal of Multivariate Analysis 2 Mathematical finance : an international journal of mathematics, statistics and financial economics 2 Mathematics of operations research 2 Statistics & Probability Letters 2 The journal of computational finance 2 4OR : a quarterly journal of operations research 1 AStA Advances in Statistical Analysis 1 Annals of finance 1 Annals of the Institute of Statistical Mathematics 1 Application of operations research to financial markets 1 Applied Mathematical Finance 1 Applied economics 1 Computational and mathematical organization theory 1 Czech Journal of Economics and Finance (Finance a uver) 1 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1 Games and economic behavior 1 Industrial Robot: the international journal of robotics research and application 1 Insurance : mathematics and economics 1 International Journal of Interdisciplinary Telecommunications and Networking (IJITN) 1 International Journal of Multimedia Data Engineering and Management (IJMDEM) 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 International review of economics & finance : IREF 1 Journal of Classification 1 Journal of the Operational Research Society : OR 1 MPRA Paper 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Mathematics and Computers in Simulation (MATCOM) 1 Metrika 1 Operations research forum 1
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Source
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RePEc 42 ECONIS (ZBW) 33 Other ZBW resources 7
Showing 51 - 60 of 82
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Most likely ensemble with a given average energy prepared by a single slit
Budiyono, Agung - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 10, pp. 2315-2322
We discuss an ensemble of particle selected by a single slit within the statistical model of quantization reported …
Persistent link: https://www.econbiz.de/10010662557
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Optimal Quantization of the Support of a Continuous Multivariate Distribution based on Mutual Information
Colin, Bernard; Dubeau, François; Khreibani, Hussein; … - In: Journal of Classification 30 (2013) 3, pp. 453-473
reasons, an optimal quantization of the support of its probability measure. More precisely, we propose a simultaneous …
Persistent link: https://www.econbiz.de/10010848620
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An Itô formula for a family of stochastic integrals and related Wong–Zakai theorems
Da Pelo, Paolo; Lanconelli, Alberto; Stan, Aurel I. - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3183-3200
The aim of this paper is to generalize two important results known for the Stratonovich and Itô integrals to any stochastic integral obtained as limit of Riemann sums with arbitrary evaluating point: the ordinary chain rule for certain nonlinear functions of the Brownian motion and the...
Persistent link: https://www.econbiz.de/10010679233
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Optimal stopping for partially observed piecewise-deterministic Markov processes
Brandejsky, Adrien; de Saporta, Benoîte; Dufour, François - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3201-3238
the partially observed optimal stopping problem. Then, we propose a numerical method, based on the quantization of the …
Persistent link: https://www.econbiz.de/10011065123
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Quantization from an exponential distribution of infinitesimal action
Budiyono, Agung - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 2, pp. 307-313
A statistical model of quantization based on an exponential distribution of infinitesimal action is proposed. A …
Persistent link: https://www.econbiz.de/10010873043
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Some properties of the Itô–Wiener expansion of the solution of a stochastic differential equation and local times
Rudenko, Alexey - In: Stochastic Processes and their Applications 122 (2012) 6, pp. 2454-2479
In this paper, we use the formula for the Itô–Wiener expansion of the solution of the stochastic differential equation proven by Krylov and Veretennikov to obtain several results concerning some properties of this expansion. Our main goal is to study the Itô–Wiener expansion of the local...
Persistent link: https://www.econbiz.de/10010577838
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Quantization from Hamilton–Jacobi theory with a random constraint
Budiyono, Agung - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4583-4589
We propose a method of quantization based on Hamilton–Jacobi theory in the presence of a random constraint due to the … fluctuations of a set of hidden random variables. Given a Lagrangian, it reproduces the results of canonical quantization yet with …
Persistent link: https://www.econbiz.de/10011060912
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Quantum fluctuations as deviation from classical dynamics of ensemble of trajectories parameterized by unbiased hidden random variable
Budiyono, Agung - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 11, pp. 3102-3118
A quantization method based on replacement of c-number by c-number parameterized by an unbiased hidden random variable … is developed. In contrast to canonical quantization, the replacement has a straightforward physical interpretation as a …
Persistent link: https://www.econbiz.de/10011061925
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Time discretization and quantization methods for optimal multiple switching problem
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 …
Persistent link: https://www.econbiz.de/10011065086
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A Dubins type solution to the Skorokhod embedding problem
Baker, David M. - In: Statistics & Probability Letters 82 (2012) 6, pp. 1054-1058
Dubins (1968) gave the first solution to the Skorokhod embedding problem (SEP) based solely on the underlying Brownian motion, and thus requiring no additional independent random variable. The Dubins solution to the SEP, can be expressed as τ≔sup{τn} with...
Persistent link: https://www.econbiz.de/10011039953
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