## Pagès, Gilles

Compute Distance To:
 Author ID: pages.gilles Published as: Pagès, Gilles; Pagès, G.; Pages, Gilles; Pages, G.; Pagés, Gilles more...less 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

### Co-Authors

 13 single-authored 19 Luschgy, Harald 10 Fort, Jean-Claude 9 Printems, Jacques 7 Graf, Siegfried 7 Lemaire, Vincent 6 Lamberton, Damien 6 Laruelle, Sophie 5 Bally, Vlad 5 Bardou, Olivier 5 Panloup, Fabien 5 Pham, Huyên 5 Sagna, Abass 5 Wilbertz, Benedikt 3 Bouton, Catherine 3 Delattre, Sylvain 3 Frikha, Noufel 3 Jourdain, Benjamin 3 Lehalle, Charles-Albert 3 Liu, Yating 3 Pironneau, Olivier 3 Rey, Clément 2 Benaïm, Michel 2 Bouthemy, Sandrine 2 Briane, Marc 2 Bronstein, Anne Laure 2 Giorgi, Daphné 2 Gobet, Emmanuel 2 Lapeyre, Bernard 2 Montes, Thibaut 2 Sall, Guillaume 1 Alaya, Mohamed Ben 1 Callegaro, Giorgia 1 Chaudru De Raynal, Paul-Eric 1 Corlay, Sylvain 1 Cottrell, Marie 1 El Nmeir, Rancy 1 Fiorin, Lucio 1 Grasselli, Martino 1 Hoffmann, Marc 1 Honoré, Igor 1 Jakubowski, Adam 1 Labadie, Mauricio 1 Mbaye, Cheikh 1 Mémin, Jean 1 Menozzi, Stéphane 1 Portès, Jacques 1 Rosenbaum, Mathieu 1 Sab, Karam 1 Sellami, Afef 1 Tarrès, Pierre 1 Vrins, Frédéric 1 Xiao, Yijun 1 Yor, Marc
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
all top 5

### Fields

 89 Probability theory and stochastic processes (60-XX) 43 Numerical analysis (65-XX) 39 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 33 Statistics (62-XX) 11 Information and communication theory, circuits (94-XX) 5 Measure and integration (28-XX) 5 Systems theory; control (93-XX) 4 Computer science (68-XX) 3 Number theory (11-XX) 3 Approximations and expansions (41-XX) 3 Operations research, mathematical programming (90-XX) 2 General and overarching topics; collections (00-XX) 2 Ordinary differential equations (34-XX) 2 Partial differential equations (35-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Quantum theory (81-XX) 1 Biology and other natural sciences (92-XX)

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