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Author ID: pages.gilles Recent zbMATH articles by "Pagès, Gilles"
Published as: Pagès, Gilles; Pagès, G.; Pages, Gilles; Pages, G.; Pagés, Gilles
External Links: MGP
Documents Indexed: 122 Publications since 1985, including 4 Books
Co-Authors: 51 Co-Authors with 107 Joint Publications
883 Co-Co-Authors
all top 5

Serials

10 Monte Carlo Methods and Applications
9 The Annals of Applied Probability
9 Bernoulli
7 Stochastic Processes and their Applications
4 Advances in Applied Probability
4 Journal of Computational and Applied Mathematics
4 Comptes Rendus de l’Académie des Sciences. Série I
4 Electronic Journal of Probability
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Journal of Approximation Theory
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Mathematical Finance
3 Methodology and Computing in Applied Probability
3 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
2 The Annals of Probability
2 Journal of Functional Analysis
2 SIAM Journal on Control and Optimization
2 SIAM Journal on Numerical Analysis
2 Journal of Theoretical Probability
2 Applied Mathematical Finance
2 Quantitative Finance
2 Stochastics and Dynamics
2 SIAM Journal on Financial Mathematics
1 IMA Journal of Numerical Analysis
1 Journal of Mathematical Analysis and Applications
1 Mathematical Proceedings of the Cambridge Philosophical Society
1 Mathematics of Operations Research
1 Stochastic Analysis and Applications
1 Statistics & Decisions
1 Statistics
1 Probability Theory and Related Fields
1 Communications in Statistics. Theory and Methods
1 Journal of Statistical Computation and Simulation
1 Neurocomputing
1 Electronic Communications in Probability
1 International Journal of Theoretical and Applied Finance
1 Journal of Machine Learning Research (JMLR)
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 ALEA. Latin American Journal of Probability and Mathematical Statistics
1 Mathematics and Financial Economics
1 Universitext

Publications by Year

Citations contained in zbMATH Open

99 Publications have been cited 1,308 times in 701 Documents Cited by Year
Convergence en loi des suites d’integrales stochastiques sur l’espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\). Zbl 0638.60049
Jakubowski, A.; Memin, J.; Pages, G.
91
1989
A quantization algorithm for solving multidimensional discrete-time optimal stopping problems. Zbl 1042.60021
Bally, Vlad; Pagès, Gilles
82
2003
A space quantization method for numerical integration. Zbl 0908.65012
Pagès, Gilles
70
1998
A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023
Bally, Vlad; Pagès, Gilles; Printems, Jacques
65
2005
Optimal quadratic quantization for numerics: the Gaussian case. Zbl 1029.65012
Pagés, Gilles; Printems, Jacques
46
2003
Optimal quantization methods and applications to numerical problems in finance. Zbl 1138.91467
Pagès, Gilles; Pham, Huyên; Printems, Jacques
43
2004
Error analysis of the optimal quantization algorithm for obstacle problems. Zbl 1075.60523
Bally, Vlad; Pagès, Gilles
37
2003
Sharp asymptotics of the functional quantization problem for Gaussian processes. Zbl 1049.60029
Luschgy, Harald; Pagès, Gilles
32
2004
Functional quantization of Gaussian processes. Zbl 1027.60015
Luschgy, Harald; Pagès, Gilles
31
2002
Functional quantization for numerics with an application to option pricing. Zbl 1161.91402
Pagès, Gilles; Printems, Jacques
31
2005
Recursive computation of the invariant distribution of a diffusion. Zbl 1006.60074
Lamberton, Damien; Pagès, Gilles
27
2002
Randomized urn models revisited using stochastic approximation. Zbl 1429.62360
Laruelle, Sophie; Pagès, Gilles
23
2013
Recursive computation of the invariant distribution of a diffusion: The case of a weakly mean reverting drift. Zbl 1044.60069
Lamberton, Damien; Pagès, Gilles
22
2003
An optimal Markovian quantization algorithm for multi-dimensional stochastic control problems. Zbl 1111.65006
Pagès, Gilles; Pham, Huyên; Printems, Jacques
20
2004
Introduction to vector quantization and its applications for numerics. Zbl 1338.60114
Pagès, Gilles
20
2015
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G.
20
2009
Functional quantization rate and mean regularity of processes with an application to Lévy processes. Zbl 1158.60005
Luschgy, Harald; Pagès, Gilles
20
2008
Functional quantization and small ball probabilities for Gaussian processes. Zbl 1038.60032
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
19
2003
Optimal quantization for the pricing of swing options. Zbl 1169.91337
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles
19
2009
Optimal quantization methods for nonlinear filtering with discrete-time observations. Zbl 1084.62095
Pagès, Gilles; Pham, Huyên
19
2005
Distortion mismatch in the quantization of probability measures. Zbl 1196.60062
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
18
2008
Functional quantization of a class of Brownian diffusions: a constructive approach. Zbl 1091.60007
Luschgy, Harald; Pagès, Gilles
18
2006
Quantization of probability distributions under norm-based distortion measures. Zbl 1066.60026
Delattre, Sylvain; Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
17
2004
Discretization and simulation of the Zakai equation. Zbl 1139.60034
Gobet, Emmanuel; Pagès, Gilles; Pham, Huyên; Printems, Jacques
17
2006
Theoretical aspects of the SOM algorithm. Zbl 0917.68082
Cottrell, M.; Fort, J. C.; Pagès, G.
16
1998
Multilevel Richardson-Romberg extrapolation. Zbl 1383.65003
Lemaire, Vincent; Pagès, Gilles
16
2017
Moment estimates for Lévy processes. Zbl 1189.60098
Luschgy, Harald; Pagès, Gilles
16
2008
Numerical probability. An introduction with applications to finance. Zbl 1418.91016
Pagès, Gilles
15
2018
Unconstrained recursive importance sampling. Zbl 1207.65007
Lemaire, Vincent; Pagès, Gilles
15
2010
A stochastic quantization method for nonlinear problems. Zbl 1035.65008
Bally, Vlad; Pagès, Gilles; Printems, Jacques
14
2001
Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
14
2011
The local quantization behavior of absolutely continuous probabilities. Zbl 1260.60032
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
14
2012
Sur quelques algorithmes récursifs pour les probabilités numériques. Zbl 0998.60073
Pagès, Gilles
13
2001
On the a.s. convergence of the Kohonen algorithm with a general neighborhood function. Zbl 0861.60076
Fort, Jean-Claude; Pagès, Gilles
13
1995
Asymptotics of optimal quantizers for some scalar distributions. Zbl 1013.60004
Fort, Jean-Claude; Pagès, Gilles
12
2002
Optimal quantization for finance: from random vectors to stochastic processes. Zbl 1180.91309
Pagès, Gilles; Printems, Jacques
12
2009
Sur l’approximation des réduites. (On the approximation of residues). Zbl 0704.60042
Lamberton, Damien; Pagès, Gilles
12
1990
Convergence of stochastic algorithms: From the Kushner-Clark theorem to the Lyapounov functional method. Zbl 0881.62085
Fort, Jean-Claude; Pagès, Gilles
12
1996
When are swing options bang-bang? Zbl 1233.91255
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles
11
2010
First-order schemes in the numerical quantization method. Zbl 1056.91025
Bally, V.; Pagès, G.; Printems, J.
10
2003
When can the two-armed bandit algorithm be trusted? Zbl 1048.62079
Lamberton, Damien; Pagès, Gilles; Tarrès, Pierre
10
2004
Van der Corput sequences, Kakutani transforms and one-dimensional numerical integration. Zbl 0765.41033
Pagès, Gilles
10
1992
Multi-step Richardson-Romberg extrapolation: remarks on variance control and complexity. Zbl 1119.65004
Pagès, Gilles
10
2007
Optimal quantizers for Radon random vectors in a Banach space. Zbl 1107.60003
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
10
2007
Self-organization and a.s. convergence of the one-dimensional Kohonen algorithm with non-uniformly distributed stimuli. Zbl 0779.60075
Bouton, Catherine; Pagès, Gilles
10
1993
Optimal Delaunay and Voronoi quantization schemes for pricing American style options. Zbl 1247.91199
Pagès, Gilles; Wilbertz, Benedikt
10
2012
Optimal posting price of limit orders: learning by trading. Zbl 1306.91148
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
10
2013
Expansions for Gaussian processes and Parseval frames. Zbl 1195.60056
Luschgy, Harald; Pagès, Gilles
9
2009
Recursive marginal quantization of the Euler scheme of a diffusion process. Zbl 1396.91805
Pagès, Gilles; Sagna, Abass
9
2015
Asymptotic behavior of a Markovian stochastic algorithm with constant step. Zbl 0954.60057
Fort, Jean-Claude; Pagès, Gilles
9
1999
Sharp asymptotics of the Kolmogorov entropy for Gaussian measures. Zbl 1060.60037
Luschgy, Harald; Pagès, Gilles
8
2004
Approximation of the distribution of a stationary Markov process with application to option pricing. Zbl 1214.60036
Pagès, Gilles; Panloup, Fabien
8
2009
Convergence in distribution of the one-dimensional Kohonen algorithms when the stimuli are not uniform. Zbl 0792.60066
Bouton, Catherine; Pagès, Gilles
8
1994
About the multidimensional competitive learning vector quantization algorithm with constant gain. Zbl 0892.60082
Bouton, Catherine; Pagès, Gilles
8
1997
Local distortion and \(\mu\)-mass of the cells of one dimensional asymptotically optimal quantizers. Zbl 1114.62316
Delattre, Sylvain; Fort, Jean-Claude; Pagès, Gilles
8
2004
Fast hybrid schemes for fractional Riccati equations (rough is not so tough). Zbl 1481.60079
Callegaro, Giorgia; Grasselli, Martino; Pagès, Gilles
7
2021
Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059
Laruelle, Sophie; Pagès, Gilles
7
2012
Ergodic approximation of the distribution of a stationary diffusion: rate of convergence. Zbl 1252.60080
Pagès, Gilles; Panloup, Fabien
7
2012
Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces. Zbl 1217.60029
Luschgy, Harald; Pagès, Gilles; Wilbertz, Benedikt
7
2010
Convergence of the one-dimensional Kohonen algorithm. Zbl 0980.62066
Benaïm, Michel; Fort, Jean-Claude; Pagès, Gilles
6
1998
Pointwise convergence of the Lloyd I algorithm in higher dimension. Zbl 1348.65037
Pagès, Gilles; Yu, Jun
6
2016
Functional quantization-based stratified sampling methods. Zbl 1310.65005
Corlay, Sylvain; Pagès, Gilles
6
2015
Intrinsic stationarity for vector quantization: foundation of dual quantization. Zbl 1262.60064
Pagès, Gilles; Wilbertz, Benedikt
6
2012
Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering. Zbl 1390.60152
Pagès, Gilles; Sagna, Abass
6
2018
A penalized bandit algorithm. Zbl 1206.62139
Lamberton, Damien; Pagès, Gilles
5
2008
The parareal algorithm for American options. (La méthode pararéelle pour les options américaines.) Zbl 1348.91286
Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume
5
2016
Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation. Zbl 1329.60281
Lemaire, Vincent; Pagès, Gilles; Panloup, Fabien
5
2015
Familles de suites à discrépance faible obtenues par itération de transformations de [0,1]. (Families of sequences with low discrepancy obtained by iteration of transforms of [0,1]). Zbl 0676.10038
Lapeyre, Bernard; Pagès, Gilles
5
1989
Sequences with low discrepancy generalisation and application to Robbins- Monro algorithm. Zbl 0704.62069
Lapeyre, Bernard; Pages, Gilles; Sab, Karam
5
1990
Limit theorems for weighted and regular multilevel estimators. Zbl 1360.65025
Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles
4
2017
CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199
Bardou, O.; Frikha, N.; Pagès, G.
4
2016
Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers. Zbl 1245.60052
Pagès, Gilles; Sagna, Abass
4
2012
A mixed-step algorithm for the approximation of the stationary regime of a diffusion. Zbl 1284.60075
Pagès, Gilles; Panloup, Fabien
4
2014
Greedy vector quantization. Zbl 1398.60074
Luschgy, Harald; Pagès, Gilles
4
2015
Weak error for nested multilevel Monte Carlo. Zbl 1456.65003
Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles
3
2020
Product Markovian quantization of a diffusion process with applications to finance. Zbl 1437.60047
Fiorin, Lucio; Pagès, Gilles; Sagna, Abass
3
2019
Nonlinear randomized urn models: a stochastic approximation viewpoint. Zbl 1429.62361
Laruelle, Sophie; Pagès, Gilles
3
2019
Convergence of multi-dimensional quantized SDEs. Zbl 1236.60056
Pagès, Gilles; Sellami, Afef
3
2011
How to speed up the quantization tree algorithm with an application to swing options. Zbl 1210.91146
Bronstein, Anne Laure; Pagès, Gilles; Wilbertz, Benedikt
3
2010
How fast is the bandit? Zbl 1416.62456
Lamberton, Damien; Pagès, Gilles
3
2008
Decreasing step stochastic algorithms: a. s. behaviour of weighted empirical measures. Zbl 1019.65008
Fort, Jean-Claude; Pagès, Gilles
2
2002
Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion. Zbl 1472.60112
Honoré, I.; Menozzi, S.; Pagès, G.
2
2020
Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089
Bardou, Olivier; Frikha, Noufel; Pagès, Gilles
2
2009
New weak error bounds and expansions for optimal quantization. Zbl 1493.65012
Lemaire, Vincent; Montes, Thibaut; Pagès, Gilles
2
2020
High-resolution product quantization for Gaussian processes under sup-norm distortion. Zbl 1131.60029
Luschgy, Harald; Pagès, Gilles
2
2007
An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs. Zbl 1368.65011
Mbaye, Cheikh; Pagès, Gilles; Vrins, Frédéric
2
2017
Sequences with low discrepancy and pseudo-random numbers: Theoretical results and numerical tests. Zbl 0881.65016
Pagès, Gilles; Xiao, Yi-Jun
2
1997
Multi-asset American options and parallel quantization. Zbl 1273.91457
Bronstein, Anne Laure; Pagès, Gilles; Portès, Jacques
2
2013
Quadratic optimal functional quantization of stochastic processes and numerical applications. Zbl 1141.65327
Pagès, Gilles
2
2008
Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm. Zbl 1478.60052
Jourdain, Benjamin; Pagès, Gilles
1
2021
Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications. Zbl 1428.60053
Pagès, Gilles; Rey, Clément
1
2019
Convex order for path-dependent derivatives: a dynamic programming approach. Zbl 1367.60044
Pagès, Gilles
1
2016
Functional co-monotony of processes with applications to peacocks and barrier options. Zbl 1291.60066
Pagès, Gilles
1
2013
Fractal functional quantization of mean-regular stochastic processes. Zbl 1227.60048
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
1
2011
A two armed bandit type problem revisited. Zbl 1136.91327
Pagès, Gilles
1
2005
Deux nouveaux critères de tension pour les suites de semi-martingales localement de carré intégrable. Applications. (Two new tightness criteria for sequences of locally square integrable semi-martingales. Applications). Zbl 0579.60036
Pagès, Gilles
1
1985
Recursive computation of invariant distributions of Feller processes. Zbl 1443.60075
Pagès, Gilles; Rey, Clément
1
2020
Weighted multilevel Langevin simulation of invariant measures. Zbl 1404.60113
Pagès, Gilles; Panloup, Fabien
1
2018
Sharp rate for the dual quantization problem. Zbl 1452.60040
Pagès, Gilles; Wilbertz, Benedikt
1
2018
Fast hybrid schemes for fractional Riccati equations (rough is not so tough). Zbl 1481.60079
Callegaro, Giorgia; Grasselli, Martino; Pagès, Gilles
7
2021
Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm. Zbl 1478.60052
Jourdain, Benjamin; Pagès, Gilles
1
2021
Weak error for nested multilevel Monte Carlo. Zbl 1456.65003
Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles
3
2020
Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion. Zbl 1472.60112
Honoré, I.; Menozzi, S.; Pagès, G.
2
2020
New weak error bounds and expansions for optimal quantization. Zbl 1493.65012
Lemaire, Vincent; Montes, Thibaut; Pagès, Gilles
2
2020
Recursive computation of invariant distributions of Feller processes. Zbl 1443.60075
Pagès, Gilles; Rey, Clément
1
2020
Product Markovian quantization of a diffusion process with applications to finance. Zbl 1437.60047
Fiorin, Lucio; Pagès, Gilles; Sagna, Abass
3
2019
Nonlinear randomized urn models: a stochastic approximation viewpoint. Zbl 1429.62361
Laruelle, Sophie; Pagès, Gilles
3
2019
Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications. Zbl 1428.60053
Pagès, Gilles; Rey, Clément
1
2019
Numerical probability. An introduction with applications to finance. Zbl 1418.91016
Pagès, Gilles
15
2018
Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering. Zbl 1390.60152
Pagès, Gilles; Sagna, Abass
6
2018
Weighted multilevel Langevin simulation of invariant measures. Zbl 1404.60113
Pagès, Gilles; Panloup, Fabien
1
2018
Sharp rate for the dual quantization problem. Zbl 1452.60040
Pagès, Gilles; Wilbertz, Benedikt
1
2018
Multilevel Richardson-Romberg extrapolation. Zbl 1383.65003
Lemaire, Vincent; Pagès, Gilles
16
2017
Limit theorems for weighted and regular multilevel estimators. Zbl 1360.65025
Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles
4
2017
An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs. Zbl 1368.65011
Mbaye, Cheikh; Pagès, Gilles; Vrins, Frédéric
2
2017
Pointwise convergence of the Lloyd I algorithm in higher dimension. Zbl 1348.65037
Pagès, Gilles; Yu, Jun
6
2016
The parareal algorithm for American options. (La méthode pararéelle pour les options américaines.) Zbl 1348.91286
Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume
5
2016
CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199
Bardou, O.; Frikha, N.; Pagès, G.
4
2016
Convex order for path-dependent derivatives: a dynamic programming approach. Zbl 1367.60044
Pagès, Gilles
1
2016
Introduction to vector quantization and its applications for numerics. Zbl 1338.60114
Pagès, Gilles
20
2015
Recursive marginal quantization of the Euler scheme of a diffusion process. Zbl 1396.91805
Pagès, Gilles; Sagna, Abass
9
2015
Functional quantization-based stratified sampling methods. Zbl 1310.65005
Corlay, Sylvain; Pagès, Gilles
6
2015
Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation. Zbl 1329.60281
Lemaire, Vincent; Pagès, Gilles; Panloup, Fabien
5
2015
Greedy vector quantization. Zbl 1398.60074
Luschgy, Harald; Pagès, Gilles
4
2015
A mixed-step algorithm for the approximation of the stationary regime of a diffusion. Zbl 1284.60075
Pagès, Gilles; Panloup, Fabien
4
2014
Randomized urn models revisited using stochastic approximation. Zbl 1429.62360
Laruelle, Sophie; Pagès, Gilles
23
2013
Optimal posting price of limit orders: learning by trading. Zbl 1306.91148
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
10
2013
Multi-asset American options and parallel quantization. Zbl 1273.91457
Bronstein, Anne Laure; Pagès, Gilles; Portès, Jacques
2
2013
Functional co-monotony of processes with applications to peacocks and barrier options. Zbl 1291.60066
Pagès, Gilles
1
2013
The local quantization behavior of absolutely continuous probabilities. Zbl 1260.60032
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
14
2012
Optimal Delaunay and Voronoi quantization schemes for pricing American style options. Zbl 1247.91199
Pagès, Gilles; Wilbertz, Benedikt
10
2012
Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059
Laruelle, Sophie; Pagès, Gilles
7
2012
Ergodic approximation of the distribution of a stationary diffusion: rate of convergence. Zbl 1252.60080
Pagès, Gilles; Panloup, Fabien
7
2012
Intrinsic stationarity for vector quantization: foundation of dual quantization. Zbl 1262.60064
Pagès, Gilles; Wilbertz, Benedikt
6
2012
Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers. Zbl 1245.60052
Pagès, Gilles; Sagna, Abass
4
2012
Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
14
2011
Convergence of multi-dimensional quantized SDEs. Zbl 1236.60056
Pagès, Gilles; Sellami, Afef
3
2011
Fractal functional quantization of mean-regular stochastic processes. Zbl 1227.60048
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
1
2011
Unconstrained recursive importance sampling. Zbl 1207.65007
Lemaire, Vincent; Pagès, Gilles
15
2010
When are swing options bang-bang? Zbl 1233.91255
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles
11
2010
Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces. Zbl 1217.60029
Luschgy, Harald; Pagès, Gilles; Wilbertz, Benedikt
7
2010
How to speed up the quantization tree algorithm with an application to swing options. Zbl 1210.91146
Bronstein, Anne Laure; Pagès, Gilles; Wilbertz, Benedikt
3
2010
Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091
Bardou, O.; Frikha, N.; Pagès, G.
20
2009
Optimal quantization for the pricing of swing options. Zbl 1169.91337
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles
19
2009
Optimal quantization for finance: from random vectors to stochastic processes. Zbl 1180.91309
Pagès, Gilles; Printems, Jacques
12
2009
Expansions for Gaussian processes and Parseval frames. Zbl 1195.60056
Luschgy, Harald; Pagès, Gilles
9
2009
Approximation of the distribution of a stationary Markov process with application to option pricing. Zbl 1214.60036
Pagès, Gilles; Panloup, Fabien
8
2009
Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089
Bardou, Olivier; Frikha, Noufel; Pagès, Gilles
2
2009
Functional quantization rate and mean regularity of processes with an application to Lévy processes. Zbl 1158.60005
Luschgy, Harald; Pagès, Gilles
20
2008
Distortion mismatch in the quantization of probability measures. Zbl 1196.60062
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
18
2008
Moment estimates for Lévy processes. Zbl 1189.60098
Luschgy, Harald; Pagès, Gilles
16
2008
A penalized bandit algorithm. Zbl 1206.62139
Lamberton, Damien; Pagès, Gilles
5
2008
How fast is the bandit? Zbl 1416.62456
Lamberton, Damien; Pagès, Gilles
3
2008
Quadratic optimal functional quantization of stochastic processes and numerical applications. Zbl 1141.65327
Pagès, Gilles
2
2008
Multi-step Richardson-Romberg extrapolation: remarks on variance control and complexity. Zbl 1119.65004
Pagès, Gilles
10
2007
Optimal quantizers for Radon random vectors in a Banach space. Zbl 1107.60003
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
10
2007
High-resolution product quantization for Gaussian processes under sup-norm distortion. Zbl 1131.60029
Luschgy, Harald; Pagès, Gilles
2
2007
Functional quantization of a class of Brownian diffusions: a constructive approach. Zbl 1091.60007
Luschgy, Harald; Pagès, Gilles
18
2006
Discretization and simulation of the Zakai equation. Zbl 1139.60034
Gobet, Emmanuel; Pagès, Gilles; Pham, Huyên; Printems, Jacques
17
2006
A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023
Bally, Vlad; Pagès, Gilles; Printems, Jacques
65
2005
Functional quantization for numerics with an application to option pricing. Zbl 1161.91402
Pagès, Gilles; Printems, Jacques
31
2005
Optimal quantization methods for nonlinear filtering with discrete-time observations. Zbl 1084.62095
Pagès, Gilles; Pham, Huyên
19
2005
A two armed bandit type problem revisited. Zbl 1136.91327
Pagès, Gilles
1
2005
Optimal quantization methods and applications to numerical problems in finance. Zbl 1138.91467
Pagès, Gilles; Pham, Huyên; Printems, Jacques
43
2004
Sharp asymptotics of the functional quantization problem for Gaussian processes. Zbl 1049.60029
Luschgy, Harald; Pagès, Gilles
32
2004
An optimal Markovian quantization algorithm for multi-dimensional stochastic control problems. Zbl 1111.65006
Pagès, Gilles; Pham, Huyên; Printems, Jacques
20
2004
Quantization of probability distributions under norm-based distortion measures. Zbl 1066.60026
Delattre, Sylvain; Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
17
2004
When can the two-armed bandit algorithm be trusted? Zbl 1048.62079
Lamberton, Damien; Pagès, Gilles; Tarrès, Pierre
10
2004
Sharp asymptotics of the Kolmogorov entropy for Gaussian measures. Zbl 1060.60037
Luschgy, Harald; Pagès, Gilles
8
2004
Local distortion and \(\mu\)-mass of the cells of one dimensional asymptotically optimal quantizers. Zbl 1114.62316
Delattre, Sylvain; Fort, Jean-Claude; Pagès, Gilles
8
2004
A quantization algorithm for solving multidimensional discrete-time optimal stopping problems. Zbl 1042.60021
Bally, Vlad; Pagès, Gilles
82
2003
Optimal quadratic quantization for numerics: the Gaussian case. Zbl 1029.65012
Pagés, Gilles; Printems, Jacques
46
2003
Error analysis of the optimal quantization algorithm for obstacle problems. Zbl 1075.60523
Bally, Vlad; Pagès, Gilles
37
2003
Recursive computation of the invariant distribution of a diffusion: The case of a weakly mean reverting drift. Zbl 1044.60069
Lamberton, Damien; Pagès, Gilles
22
2003
Functional quantization and small ball probabilities for Gaussian processes. Zbl 1038.60032
Graf, Siegfried; Luschgy, Harald; Pagès, Gilles
19
2003
First-order schemes in the numerical quantization method. Zbl 1056.91025
Bally, V.; Pagès, G.; Printems, J.
10
2003
Functional quantization of Gaussian processes. Zbl 1027.60015
Luschgy, Harald; Pagès, Gilles
31
2002
Recursive computation of the invariant distribution of a diffusion. Zbl 1006.60074
Lamberton, Damien; Pagès, Gilles
27
2002
Asymptotics of optimal quantizers for some scalar distributions. Zbl 1013.60004
Fort, Jean-Claude; Pagès, Gilles
12
2002
Decreasing step stochastic algorithms: a. s. behaviour of weighted empirical measures. Zbl 1019.65008
Fort, Jean-Claude; Pagès, Gilles
2
2002
A stochastic quantization method for nonlinear problems. Zbl 1035.65008
Bally, Vlad; Pagès, Gilles; Printems, Jacques
14
2001
Sur quelques algorithmes récursifs pour les probabilités numériques. Zbl 0998.60073
Pagès, Gilles
13
2001
Asymptotic behavior of a Markovian stochastic algorithm with constant step. Zbl 0954.60057
Fort, Jean-Claude; Pagès, Gilles
9
1999
A space quantization method for numerical integration. Zbl 0908.65012
Pagès, Gilles
70
1998
Theoretical aspects of the SOM algorithm. Zbl 0917.68082
Cottrell, M.; Fort, J. C.; Pagès, G.
16
1998
Convergence of the one-dimensional Kohonen algorithm. Zbl 0980.62066
Benaïm, Michel; Fort, Jean-Claude; Pagès, Gilles
6
1998
About the multidimensional competitive learning vector quantization algorithm with constant gain. Zbl 0892.60082
Bouton, Catherine; Pagès, Gilles
8
1997
Sequences with low discrepancy and pseudo-random numbers: Theoretical results and numerical tests. Zbl 0881.65016
Pagès, Gilles; Xiao, Yi-Jun
2
1997
Convergence of stochastic algorithms: From the Kushner-Clark theorem to the Lyapounov functional method. Zbl 0881.62085
Fort, Jean-Claude; Pagès, Gilles
12
1996
On the a.s. convergence of the Kohonen algorithm with a general neighborhood function. Zbl 0861.60076
Fort, Jean-Claude; Pagès, Gilles
13
1995
Convergence in distribution of the one-dimensional Kohonen algorithms when the stimuli are not uniform. Zbl 0792.60066
Bouton, Catherine; Pagès, Gilles
8
1994
Self-organization and a.s. convergence of the one-dimensional Kohonen algorithm with non-uniformly distributed stimuli. Zbl 0779.60075
Bouton, Catherine; Pagès, Gilles
10
1993
Van der Corput sequences, Kakutani transforms and one-dimensional numerical integration. Zbl 0765.41033
Pagès, Gilles
10
1992
Sur l’approximation des réduites. (On the approximation of residues). Zbl 0704.60042
Lamberton, Damien; Pagès, Gilles
12
1990
Sequences with low discrepancy generalisation and application to Robbins- Monro algorithm. Zbl 0704.62069
Lapeyre, Bernard; Pages, Gilles; Sab, Karam
5
1990
Convergence en loi des suites d’integrales stochastiques sur l’espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\). Zbl 0638.60049
Jakubowski, A.; Memin, J.; Pages, G.
91
1989
Familles de suites à discrépance faible obtenues par itération de transformations de [0,1]. (Families of sequences with low discrepancy obtained by iteration of transforms of [0,1]). Zbl 0676.10038
Lapeyre, Bernard; Pagès, Gilles
5
1989
Deux nouveaux critères de tension pour les suites de semi-martingales localement de carré intégrable. Applications. (Two new tightness criteria for sequences of locally square integrable semi-martingales. Applications). Zbl 0579.60036
Pagès, Gilles
1
1985
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Cited by 970 Authors

67 Pagès, Gilles
19 Luschgy, Harald
14 Panloup, Fabien
14 Zhu, Sanguo
11 Słomiński, Leszek
9 Dereich, Steffen
9 Jourdain, Benjamin
9 Lemaire, Vincent
9 Pham, Huyên
8 Belomestny, Denis
8 Gobet, Emmanuel
8 Jentzen, Arnulf
7 Alfonsi, Aurélien
7 Bender, Christian
7 Bouchard, Bruno
7 Chassagneux, Jean-François
7 Fort, Jean-Claude
7 Graf, Siegfried
7 Sagna, Abass
7 Warin, Xavier
6 Aletti, Giacomo
6 Bao, Feng
6 Callegaro, Giorgia
6 de Saporta, Benoîte
6 Ghiglietti, Andrea
6 Lehalle, Charles-Albert
6 Lelong, Jérôme
6 Ludkovski, Michael
6 Schoenmakers, John G. M.
6 Touzi, Nizar
5 Bally, Vlad
5 Dufour, François
5 Fiorin, Lucio
5 Hutzenthaler, Martin
5 Kebaier, Ahmed
5 Labart, Céline
5 Moulines, Eric
5 Pichler, Alois
5 Printems, Jacques
4 Bardou, Olivier
4 Cheridito, Patrick
4 Crimaldi, Irene
4 Crisan, Dan O.
4 E, Weinan
4 Fort, Gersende
4 Frikha, Noufel
4 Gadat, Sébastien
4 Geiss, Christel
4 Giles, Michael B.
4 Guéant, Olivier
4 Huré, Côme
4 Kawai, Reiichiro
4 Lamberton, Damien
4 Menozzi, Stéphane
4 Pflug, Georg Ch.
4 Rey, Clément
4 Ritter, Klaus
4 Roychowdhury, Mrinal Kanti
4 Scheutzow, Michael K. R.
4 Szpruch, Lukasz
4 Van Ackooij, Wim
4 Wozabal, David
4 Zhao, Weidong
3 Alaya, Mohamed Ben
3 Aurzada, Frank
3 Bach, Francis R.
3 Bandyopadhyay, Antar
3 Barczy, Mátyás
3 Bayer, Christian
3 Becker, Sebastian
3 Bianchi, Pascal
3 Cao, Yanzhao
3 Cohen, Serge
3 Coquet, François
3 Cottrell, Marie
3 Crepey, Stephane
3 Durmus, Alain
3 Grasselli, Martino
3 Klimsiak, Tomasz
3 Kreitmeier, Wolfgang
3 Kruse, Thomas
3 Laruelle, Sophie
3 Löhndorf, Nils
3 Mackevičius, Vigirdas
3 Mailler, Cécile
3 Manolarakis, Konstantinos
3 Masuda, Hiroki
3 Melbourne, Ian
3 Mémin, Jean
3 Milstein, Grigori N.
3 Mnif, Mohamed
3 Müller-Gronbach, Thomas
3 Nakano, Yumiharu
3 Pironneau, Olivier
3 Pulido, Sergio
3 Römisch, Werner
3 Rosenbaum, Mathieu
3 Rubenthaler, Sylvain
3 Ryzhov, Ilya O.
3 Saracco, Jérôme
...and 870 more Authors
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Cited in 184 Serials

69 Stochastic Processes and their Applications
47 The Annals of Applied Probability
24 Bernoulli
24 Quantitative Finance
16 Mathematical Finance
14 Monte Carlo Methods and Applications
13 Journal of Mathematical Analysis and Applications
11 Neural Networks
11 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
10 The Annals of Probability
10 Stochastic Analysis and Applications
10 European Journal of Operational Research
10 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
10 SIAM Journal on Financial Mathematics
9 Journal of Computational and Applied Mathematics
9 Methodology and Computing in Applied Probability
8 Statistics & Probability Letters
8 Journal of Theoretical Probability
8 Applied Mathematical Finance
8 Finance and Stochastics
8 International Journal of Theoretical and Applied Finance
8 SIAM/ASA Journal on Uncertainty Quantification
7 Advances in Applied Probability
7 Journal of Applied Probability
7 Journal of Complexity
7 Electronic Journal of Statistics
6 Mathematics of Computation
6 The Annals of Statistics
6 Journal of Statistical Planning and Inference
6 Mathematics of Operations Research
6 Statistics and Computing
6 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
5 Journal of Approximation Theory
5 Mathematical and Computer Modelling
5 Journal of Statistical Computation and Simulation
5 Stochastics and Dynamics
5 Stochastics
5 Mathematics and Financial Economics
4 Journal of Computational Physics
4 Journal of Functional Analysis
4 SIAM Journal on Control and Optimization
4 SIAM Journal on Numerical Analysis
4 Acta Mathematica Hungarica
4 Annals of Operations Research
4 Communications in Statistics. Theory and Methods
4 SIAM Journal on Scientific Computing
4 Mathematical Methods of Operations Research
4 Foundations of Computational Mathematics
4 Journal of Machine Learning Research (JMLR)
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
3 Lithuanian Mathematical Journal
3 Applied Mathematics and Optimization
3 Automatica
3 Journal of Multivariate Analysis
3 Numerische Mathematik
3 Transactions of the American Mathematical Society
3 Insurance Mathematics & Economics
3 Operations Research Letters
3 Probability Theory and Related Fields
3 Journal of Scientific Computing
3 Neural Computation
3 International Journal of Computer Mathematics
3 Computational Statistics and Data Analysis
3 Mathematical Programming. Series A. Series B
3 Computational Optimization and Applications
3 Electronic Journal of Probability
3 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings
3 Computational Management Science
3 SIAM Journal on Mathematics of Data Science
2 Computers & Mathematics with Applications
2 Israel Journal of Mathematics
2 Problems of Information Transmission
2 Applied Mathematics and Computation
2 Journal of Econometrics
2 Mathematics and Computers in Simulation
2 Mathematische Nachrichten
2 Monatshefte für Mathematik
2 Applied Numerical Mathematics
2 Constructive Approximation
2 Journal of Economic Dynamics & Control
2 European Journal of Applied Mathematics
2 Games and Economic Behavior
2 Communications in Statistics. Simulation and Computation
2 SIAM Journal on Optimization
2 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
2 Theory of Probability and Mathematical Statistics
2 Random Operators and Stochastic Equations
2 The Journal of Fourier Analysis and Applications
2 INFORMS Journal on Computing
2 Qualitative Theory of Dynamical Systems
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Communications in Computational Physics
2 Science China. Mathematics
2 Stochastic Systems
2 EURO Journal on Computational Optimization
2 SN Partial Differential Equations and Applications
1 Communications in Mathematical Physics
1 Communications on Pure and Applied Mathematics
1 Discrete Applied Mathematics
...and 84 more Serials
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Cited in 39 Fields

467 Probability theory and stochastic processes (60-XX)
226 Numerical analysis (65-XX)
189 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
171 Statistics (62-XX)
67 Systems theory; control (93-XX)
58 Operations research, mathematical programming (90-XX)
41 Computer science (68-XX)
37 Partial differential equations (35-XX)
36 Information and communication theory, circuits (94-XX)
30 Measure and integration (28-XX)
30 Calculus of variations and optimal control; optimization (49-XX)
18 Dynamical systems and ergodic theory (37-XX)
17 Ordinary differential equations (34-XX)
17 Approximations and expansions (41-XX)
9 Number theory (11-XX)
9 Operator theory (47-XX)
8 Functional analysis (46-XX)
6 Harmonic analysis on Euclidean spaces (42-XX)
6 Statistical mechanics, structure of matter (82-XX)
5 Combinatorics (05-XX)
5 Fluid mechanics (76-XX)
5 Biology and other natural sciences (92-XX)
3 Convex and discrete geometry (52-XX)
3 Global analysis, analysis on manifolds (58-XX)
2 Difference and functional equations (39-XX)
2 Abstract harmonic analysis (43-XX)
2 Integral transforms, operational calculus (44-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Group theory and generalizations (20-XX)
1 Real functions (26-XX)
1 Potential theory (31-XX)
1 Integral equations (45-XX)
1 Differential geometry (53-XX)
1 General topology (54-XX)
1 Mechanics of particles and systems (70-XX)
1 Quantum theory (81-XX)
1 Relativity and gravitational theory (83-XX)
1 Astronomy and astrophysics (85-XX)
1 Geophysics (86-XX)

Citations by Year