Convergence of multi-dimensional quantized SDE’s
نویسندگان
چکیده
We quantize a multidimensional SDE (in the Stratanovich sense) by solving the related ODE’s in which the Brownian motion has been replaced by the components of stationary quantizers. We make a connection with rough path theory to show that such quantizations converge toward the solution of the SDE. In some particular cases, we show that this procedure provide some rate optimal quantizations of the equation.
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تاریخ انتشار 2008