Edit Profile (opens in new tab) Pagès, Gilles Co-Author Distance Author ID: pages.gilles Published as: Pagès, Gilles; Pagès, G.; Pages, Gilles; Pages, G.; Pagés, Gilles more...less External Links: MGP Documents Indexed: 126 Publications since 1985, including 4 Books Co-Authors: 54 Co-Authors with 112 Joint Publications 1,083 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 7 Panloup, Fabien 6 Lamberton, Damien 6 Laruelle, Sophie 5 Bally, Vlad 5 Bardou, Olivier 5 Pham, Huyên 5 Sagna, Abass 5 Wilbertz, Benedikt 4 Pironneau, Olivier 3 Bouton, Catherine 3 Delattre, Sylvain 3 Frikha, Noufel 3 Jourdain, Benjamin 3 Lehalle, Charles-Albert 3 Liu, Yating 3 Rey, Clément 2 Benaïm, Michel 2 Bouthemy, Sandrine 2 Bras, Pierre 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 Laurière, Mathieu 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 1 Yu, Jun all top 5 Serials 11 Monte Carlo Methods and Applications 10 The Annals of Applied Probability 9 Bernoulli 7 Stochastic Processes and their Applications 5 Electronic Journal of Probability 4 Advances in Applied Probability 4 Journal of Computational and Applied Mathematics 4 Comptes Rendus de l’Académie des Sciences. Série I 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 1 Probability, Uncertainty and Quantitative Risk all top 5 Fields 93 Probability theory and stochastic processes (60-XX) 46 Numerical analysis (65-XX) 40 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 35 Statistics (62-XX) 11 Information and communication theory, circuits (94-XX) 6 Systems theory; control (93-XX) 5 Measure and integration (28-XX) 4 Computer science (68-XX) 3 Number theory (11-XX) 3 Dynamical systems and ergodic theory (37-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 Harmonic analysis on Euclidean spaces (42-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Quantum theory (81-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 108 Publications have been cited 1,493 times in 769 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 0638.60049Jakubowski, A.; Memin, J.; Pages, G. 94 1989 A quantization algorithm for solving multidimensional discrete-time optimal stopping problems. Zbl 1042.60021Bally, Vlad; Pagès, Gilles 89 2003 A space quantization method for numerical integration. Zbl 0908.65012Pagès, Gilles 75 1998 A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023Bally, Vlad; Pagès, Gilles; Printems, Jacques 70 2005 Optimal quadratic quantization for numerics: the Gaussian case. Zbl 1029.65012Pagés, Gilles; Printems, Jacques 54 2003 Optimal quantization methods and applications to numerical problems in finance. Zbl 1138.91467Pagès, Gilles; Pham, Huyên; Printems, Jacques 45 2004 Error analysis of the optimal quantization algorithm for obstacle problems. Zbl 1075.60523Bally, Vlad; Pagès, Gilles 43 2003 Functional quantization for numerics with an application to option pricing. Zbl 1161.91402Pagès, Gilles; Printems, Jacques 39 2005 Sharp asymptotics of the functional quantization problem for Gaussian processes. Zbl 1049.60029Luschgy, Harald; Pagès, Gilles 35 2004 Functional quantization of Gaussian processes. Zbl 1027.60015Luschgy, Harald; Pagès, Gilles 34 2002 Recursive computation of the invariant distribution of a diffusion. Zbl 1006.60074Lamberton, Damien; Pagès, Gilles 33 2002 Randomized urn models revisited using stochastic approximation. Zbl 1429.62360Laruelle, Sophie; Pagès, Gilles 27 2013 Introduction to vector quantization and its applications for numerics. Zbl 1338.60114Pagès, Gilles 25 2015 Optimal quantization for the pricing of swing options. Zbl 1169.91337Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles 24 2009 Recursive computation of the invariant distribution of a diffusion: The case of a weakly mean reverting drift. Zbl 1044.60069Lamberton, Damien; Pagès, Gilles 23 2003 Optimal quantization methods for nonlinear filtering with discrete-time observations. Zbl 1084.62095Pagès, Gilles; Pham, Huyên 22 2005 Functional quantization rate and mean regularity of processes with an application to Lévy processes. Zbl 1158.60005Luschgy, Harald; Pagès, Gilles 22 2008 An optimal Markovian quantization algorithm for multi-dimensional stochastic control problems. Zbl 1111.65006Pagès, Gilles; Pham, Huyên; Printems, Jacques 21 2004 Distortion mismatch in the quantization of probability measures. Zbl 1196.60062Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 21 2008 Functional quantization and small ball probabilities for Gaussian processes. Zbl 1038.60032Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 21 2003 Numerical probability. An introduction with applications to finance. Zbl 1418.91016Pagès, Gilles 20 2018 Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091Bardou, O.; Frikha, N.; Pagès, G. 20 2009 Multilevel Richardson-Romberg extrapolation. Zbl 1383.65003Lemaire, Vincent; Pagès, Gilles 19 2017 Functional quantization of a class of Brownian diffusions: a constructive approach. Zbl 1091.60007Luschgy, Harald; Pagès, Gilles 19 2006 Discretization and simulation of the Zakai equation. Zbl 1139.60034Gobet, Emmanuel; Pagès, Gilles; Pham, Huyên; Printems, Jacques 18 2006 Quantization of probability distributions under norm-based distortion measures. Zbl 1066.60026Delattre, Sylvain; Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 18 2004 Unconstrained recursive importance sampling. Zbl 1207.65007Lemaire, Vincent; Pagès, Gilles 17 2010 Moment estimates for Lévy processes. Zbl 1189.60098Luschgy, Harald; Pagès, Gilles 17 2008 A stochastic quantization method for nonlinear problems. Zbl 1035.65008Bally, Vlad; Pagès, Gilles; Printems, Jacques 16 2001 Theoretical aspects of the SOM algorithm. Zbl 0917.68082Cottrell, M.; Fort, J. C.; Pagès, G. 16 1998 The local quantization behavior of absolutely continuous probabilities. Zbl 1260.60032Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 16 2012 Optimal Delaunay and Voronoi quantization schemes for pricing American style options. Zbl 1247.91199Pagès, Gilles; Wilbertz, Benedikt 16 2012 Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles 15 2011 When are swing options bang-bang? Zbl 1233.91255Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles 14 2010 Sur quelques algorithmes récursifs pour les probabilités numériques. Zbl 0998.60073Pagès, Gilles 14 2001 On the a.s. convergence of the Kohonen algorithm with a general neighborhood function. Zbl 0861.60076Fort, Jean-Claude; Pagès, Gilles 14 1995 Optimal quantization for finance: from random vectors to stochastic processes. Zbl 1180.91309Pagès, Gilles; Printems, Jacques 13 2009 Asymptotics of optimal quantizers for some scalar distributions. Zbl 1013.60004Fort, Jean-Claude; Pagès, Gilles 13 2002 Convergence of stochastic algorithms: From the Kushner-Clark theorem to the Lyapounov functional method. Zbl 0881.62085Fort, Jean-Claude; Pagès, Gilles 13 1996 Sur l’approximation des réduites. (On the approximation of residues). Zbl 0704.60042Lamberton, Damien; Pagès, Gilles 12 1990 Intrinsic stationarity for vector quantization: foundation of dual quantization. Zbl 1262.60064Pagès, Gilles; Wilbertz, Benedikt 12 2012 Optimal posting price of limit orders: learning by trading. Zbl 1306.91148Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles 12 2013 When can the two-armed bandit algorithm be trusted? Zbl 1048.62079Lamberton, Damien; Pagès, Gilles; Tarrès, Pierre 11 2004 Expansions for Gaussian processes and Parseval frames. Zbl 1195.60056Luschgy, Harald; Pagès, Gilles 11 2009 Self-organization and a.s. convergence of the one-dimensional Kohonen algorithm with non-uniformly distributed stimuli. Zbl 0779.60075Bouton, Catherine; Pagès, Gilles 11 1993 Optimal quantizers for Radon random vectors in a Banach space. Zbl 1107.60003Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 11 2007 First-order schemes in the numerical quantization method. Zbl 1056.91025Bally, V.; Pagès, G.; Printems, J. 11 2003 Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering. Zbl 1390.60152Pagès, Gilles; Sagna, Abass 11 2018 Van der Corput sequences, Kakutani transforms and one-dimensional numerical integration. Zbl 0765.41033Pagès, Gilles 10 1992 Functional quantization-based stratified sampling methods. Zbl 1310.65005Corlay, Sylvain; Pagès, Gilles 10 2015 Multi-step Richardson-Romberg extrapolation: remarks on variance control and complexity. Zbl 1119.65004Pagès, Gilles 10 2007 Asymptotic behavior of a Markovian stochastic algorithm with constant step. Zbl 0954.60057Fort, Jean-Claude; Pagès, Gilles 10 1999 Recursive marginal quantization of the Euler scheme of a diffusion process. Zbl 1396.91805Pagès, Gilles; Sagna, Abass 10 2015 Fast hybrid schemes for fractional Riccati equations (rough is not so tough). Zbl 1481.60079Callegaro, Giorgia; Grasselli, Martino; Pagès, Gilles 10 2021 Convergence in distribution of the one-dimensional Kohonen algorithms when the stimuli are not uniform. Zbl 0792.60066Bouton, Catherine; Pagès, Gilles 9 1994 Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059Laruelle, Sophie; Pagès, Gilles 9 2012 Ergodic approximation of the distribution of a stationary diffusion: rate of convergence. Zbl 1252.60080Pagès, Gilles; Panloup, Fabien 9 2012 Approximation of the distribution of a stationary Markov process with application to option pricing. Zbl 1214.60036Pagès, Gilles; Panloup, Fabien 8 2009 Sharp asymptotics of the Kolmogorov entropy for Gaussian measures. Zbl 1060.60037Luschgy, Harald; Pagès, Gilles 8 2004 Local distortion and \(\mu\)-mass of the cells of one dimensional asymptotically optimal quantizers. Zbl 1114.62316Delattre, Sylvain; Fort, Jean-Claude; Pagès, Gilles 8 2004 About the multidimensional competitive learning vector quantization algorithm with constant gain. Zbl 0892.60082Bouton, Catherine; Pagès, Gilles 7 1997 Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces. Zbl 1217.60029Luschgy, Harald; Pagès, Gilles; Wilbertz, Benedikt 7 2010 Convergence of the one-dimensional Kohonen algorithm. Zbl 0980.62066Benaïm, Michel; Fort, Jean-Claude; Pagès, Gilles 7 1998 Product Markovian quantization of a diffusion process with applications to finance. Zbl 1437.60047Fiorin, Lucio; Pagès, Gilles; Sagna, Abass 7 2019 Pointwise convergence of the Lloyd I algorithm in higher dimension. Zbl 1348.65037Pagès, Gilles; Yu, Jun 6 2016 The parareal algorithm for American options. (La méthode pararéelle pour les options américaines.) Zbl 1348.91286Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume 6 2016 Sequences with low discrepancy generalisation and application to Robbins- Monro algorithm. Zbl 0704.62069Lapeyre, Bernard; Pages, Gilles; Sab, Karam 6 1990 A penalized bandit algorithm. Zbl 1206.62139Lamberton, Damien; Pagès, Gilles 6 2008 Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers. Zbl 1245.60052Pagès, Gilles; Sagna, Abass 6 2012 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 0676.10038Lapeyre, Bernard; Pagès, Gilles 5 1989 CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199Bardou, O.; Frikha, N.; Pagès, G. 5 2016 A mixed-step algorithm for the approximation of the stationary regime of a diffusion. Zbl 1284.60075Pagès, Gilles; Panloup, Fabien 5 2014 How to speed up the quantization tree algorithm with an application to swing options. Zbl 1210.91146Bronstein, Anne Laure; Pagès, Gilles; Wilbertz, Benedikt 5 2010 Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation. Zbl 1329.60281Lemaire, Vincent; Pagès, Gilles; Panloup, Fabien 5 2015 Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion. Zbl 1472.60112Honoré, I.; Menozzi, S.; Pagès, G. 5 2020 How fast is the bandit? Zbl 1416.62456Lamberton, Damien; Pagès, Gilles 4 2008 High-resolution product quantization for Gaussian processes under sup-norm distortion. Zbl 1131.60029Luschgy, Harald; Pagès, Gilles 4 2007 Sharp rate for the dual quantization problem. Zbl 1452.60040Pagès, Gilles; Wilbertz, Benedikt 4 2018 Greedy vector quantization. Zbl 1398.60074Luschgy, Harald; Pagès, Gilles 4 2015 Limit theorems for weighted and regular multilevel estimators. Zbl 1360.65025Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles 4 2017 Nonlinear randomized urn models: a stochastic approximation viewpoint. Zbl 1429.62361Laruelle, Sophie; Pagès, Gilles 4 2019 Decreasing step stochastic algorithms: a. s. behaviour of weighted empirical measures. Zbl 1019.65008Fort, Jean-Claude; Pagès, Gilles 3 2002 Convergence of multi-dimensional quantized SDEs. Zbl 1236.60056Pagès, Gilles; Sellami, Afef 3 2011 Weak error for nested multilevel Monte Carlo. Zbl 1456.65003Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles 3 2020 New weak error bounds and expansions for optimal quantization. Zbl 1493.65012Lemaire, Vincent; Montes, Thibaut; Pagès, Gilles 3 2020 Convex order for path-dependent derivatives: a dynamic programming approach. Zbl 1367.60044Pagès, Gilles 3 2016 Quantization and martingale couplings. Zbl 1482.60026Jourdain, Benjamin; Pagès, Gilles 3 2022 Quadratic optimal functional quantization of stochastic processes and numerical applications. Zbl 1141.65327Pagès, Gilles 2 2008 Sequences with low discrepancy and pseudo-random numbers: Theoretical results and numerical tests. Zbl 0881.65016Pagès, Gilles; Xiao, Yi-Jun 2 1997 Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089Bardou, Olivier; Frikha, Noufel; Pagès, Gilles 2 2009 An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs. Zbl 1368.65011Mbaye, Cheikh; Pagès, Gilles; Vrins, Frédéric 2 2017 Multi-asset American options and parallel quantization. Zbl 1273.91457Bronstein, Anne Laure; Pagès, Gilles; Portès, Jacques 2 2013 Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds. Zbl 1515.65032Pagès, Gilles; Panloup, Fabien 2 2023 Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme. Zbl 1517.65006Bras, Pierre; Pagès, Gilles; Panloup, Fabien 2 2022 Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions. Zbl 1509.65006Pagès, Gilles; Sagna, Abass 2 2021 Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications. Zbl 1428.60053Pagès, Gilles; Rey, Clément 2 2019 A two armed bandit type problem revisited. Zbl 1136.91327Pagès, 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 0579.60036Pagès, Gilles 1 1985 Optimization and statistical methods for high frequency finance. Zbl 1401.91561Hoffmann, Marc; Labadie, Mauricio; Lehalle, Charles-Albert; Pagès, Gilles; Pham, Huyên; Rosenbaum, Mathieu 1 2014 Fractal functional quantization of mean-regular stochastic processes. Zbl 1227.60048Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 1 2011 Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds. Zbl 1515.65032Pagès, Gilles; Panloup, Fabien 2 2023 Quantization and martingale couplings. Zbl 1482.60026Jourdain, Benjamin; Pagès, Gilles 3 2022 Total variation distance between two diffusions in small time with unbounded drift: application to the Euler-Maruyama scheme. Zbl 1517.65006Bras, Pierre; Pagès, Gilles; Panloup, Fabien 2 2022 New approach to greedy vector quantization. Zbl 1490.60092El Nmeir, Rancy; Luschgy, Harald; Pagès, Gilles 1 2022 Dynamic programming versus supervised learning: optimal fishing quotas. Zbl 1497.90215Pagès, Gilles; Pironneau, Olivier 1 2022 Fast hybrid schemes for fractional Riccati equations (rough is not so tough). Zbl 1481.60079Callegaro, Giorgia; Grasselli, Martino; Pagès, Gilles 10 2021 Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions. Zbl 1509.65006Pagès, Gilles; Sagna, Abass 2 2021 Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm. Zbl 1478.60052Jourdain, Benjamin; Pagès, Gilles 1 2021 Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion. Zbl 1472.60112Honoré, I.; Menozzi, S.; Pagès, G. 5 2020 Weak error for nested multilevel Monte Carlo. Zbl 1456.65003Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles 3 2020 New weak error bounds and expansions for optimal quantization. Zbl 1493.65012Lemaire, Vincent; Montes, Thibaut; Pagès, Gilles 3 2020 Recursive computation of invariant distributions of Feller processes. Zbl 1443.60075Pagès, Gilles; Rey, Clément 1 2020 Product Markovian quantization of a diffusion process with applications to finance. Zbl 1437.60047Fiorin, Lucio; Pagès, Gilles; Sagna, Abass 7 2019 Nonlinear randomized urn models: a stochastic approximation viewpoint. Zbl 1429.62361Laruelle, Sophie; Pagès, Gilles 4 2019 Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications. Zbl 1428.60053Pagès, Gilles; Rey, Clément 2 2019 Numerical probability. An introduction with applications to finance. Zbl 1418.91016Pagès, Gilles 20 2018 Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering. Zbl 1390.60152Pagès, Gilles; Sagna, Abass 11 2018 Sharp rate for the dual quantization problem. Zbl 1452.60040Pagès, Gilles; Wilbertz, Benedikt 4 2018 Weighted multilevel Langevin simulation of invariant measures. Zbl 1404.60113Pagès, Gilles; Panloup, Fabien 1 2018 The parareal algorithm for American options. Zbl 1416.91405Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume 1 2018 Multilevel Richardson-Romberg extrapolation. Zbl 1383.65003Lemaire, Vincent; Pagès, Gilles 19 2017 Limit theorems for weighted and regular multilevel estimators. Zbl 1360.65025Giorgi, Daphné; Lemaire, Vincent; Pagès, Gilles 4 2017 An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs. Zbl 1368.65011Mbaye, Cheikh; Pagès, Gilles; Vrins, Frédéric 2 2017 Addendum and corrigendum to: “Randomized urn models revisited using stochastic approximation”. Zbl 1453.62616Laruelle, Sophie; Pagès, Gilles 1 2017 Pointwise convergence of the Lloyd I algorithm in higher dimension. Zbl 1348.65037Pagès, Gilles; Yu, Jun 6 2016 The parareal algorithm for American options. (La méthode pararéelle pour les options américaines.) Zbl 1348.91286Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume 6 2016 CVaR hedging using quantization-based stochastic approximation algorithm. Zbl 1331.91199Bardou, O.; Frikha, N.; Pagès, G. 5 2016 Convex order for path-dependent derivatives: a dynamic programming approach. Zbl 1367.60044Pagès, Gilles 3 2016 Introduction to vector quantization and its applications for numerics. Zbl 1338.60114Pagès, Gilles 25 2015 Functional quantization-based stratified sampling methods. Zbl 1310.65005Corlay, Sylvain; Pagès, Gilles 10 2015 Recursive marginal quantization of the Euler scheme of a diffusion process. Zbl 1396.91805Pagès, Gilles; Sagna, Abass 10 2015 Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation. Zbl 1329.60281Lemaire, Vincent; Pagès, Gilles; Panloup, Fabien 5 2015 Greedy vector quantization. Zbl 1398.60074Luschgy, Harald; Pagès, Gilles 4 2015 A mixed-step algorithm for the approximation of the stationary regime of a diffusion. Zbl 1284.60075Pagès, Gilles; Panloup, Fabien 5 2014 Optimization and statistical methods for high frequency finance. Zbl 1401.91561Hoffmann, Marc; Labadie, Mauricio; Lehalle, Charles-Albert; Pagès, Gilles; Pham, Huyên; Rosenbaum, Mathieu 1 2014 Randomized urn models revisited using stochastic approximation. Zbl 1429.62360Laruelle, Sophie; Pagès, Gilles 27 2013 Optimal posting price of limit orders: learning by trading. Zbl 1306.91148Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles 12 2013 Multi-asset American options and parallel quantization. Zbl 1273.91457Bronstein, Anne Laure; Pagès, Gilles; Portès, Jacques 2 2013 Functional co-monotony of processes with applications to peacocks and barrier options. Zbl 1291.60066Pagès, Gilles 1 2013 The local quantization behavior of absolutely continuous probabilities. Zbl 1260.60032Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 16 2012 Optimal Delaunay and Voronoi quantization schemes for pricing American style options. Zbl 1247.91199Pagès, Gilles; Wilbertz, Benedikt 16 2012 Intrinsic stationarity for vector quantization: foundation of dual quantization. Zbl 1262.60064Pagès, Gilles; Wilbertz, Benedikt 12 2012 Stochastic approximation with averaging innovation applied to finance. Zbl 1300.62059Laruelle, Sophie; Pagès, Gilles 9 2012 Ergodic approximation of the distribution of a stationary diffusion: rate of convergence. Zbl 1252.60080Pagès, Gilles; Panloup, Fabien 9 2012 Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers. Zbl 1245.60052Pagès, Gilles; Sagna, Abass 6 2012 Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles 15 2011 Convergence of multi-dimensional quantized SDEs. Zbl 1236.60056Pagès, Gilles; Sellami, Afef 3 2011 Fractal functional quantization of mean-regular stochastic processes. Zbl 1227.60048Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 1 2011 Unconstrained recursive importance sampling. Zbl 1207.65007Lemaire, Vincent; Pagès, Gilles 17 2010 When are swing options bang-bang? Zbl 1233.91255Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles 14 2010 Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces. Zbl 1217.60029Luschgy, Harald; Pagès, Gilles; Wilbertz, Benedikt 7 2010 How to speed up the quantization tree algorithm with an application to swing options. Zbl 1210.91146Bronstein, Anne Laure; Pagès, Gilles; Wilbertz, Benedikt 5 2010 Optimal quantization for the pricing of swing options. Zbl 1169.91337Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles 24 2009 Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling. Zbl 1185.91091Bardou, O.; Frikha, N.; Pagès, G. 20 2009 Optimal quantization for finance: from random vectors to stochastic processes. Zbl 1180.91309Pagès, Gilles; Printems, Jacques 13 2009 Expansions for Gaussian processes and Parseval frames. Zbl 1195.60056Luschgy, Harald; Pagès, Gilles 11 2009 Approximation of the distribution of a stationary Markov process with application to option pricing. Zbl 1214.60036Pagès, Gilles; Panloup, Fabien 8 2009 Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC. Zbl 1182.91089Bardou, Olivier; Frikha, Noufel; Pagès, Gilles 2 2009 Functional quantization rate and mean regularity of processes with an application to Lévy processes. Zbl 1158.60005Luschgy, Harald; Pagès, Gilles 22 2008 Distortion mismatch in the quantization of probability measures. Zbl 1196.60062Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 21 2008 Moment estimates for Lévy processes. Zbl 1189.60098Luschgy, Harald; Pagès, Gilles 17 2008 A penalized bandit algorithm. Zbl 1206.62139Lamberton, Damien; Pagès, Gilles 6 2008 How fast is the bandit? Zbl 1416.62456Lamberton, Damien; Pagès, Gilles 4 2008 Quadratic optimal functional quantization of stochastic processes and numerical applications. Zbl 1141.65327Pagès, Gilles 2 2008 Optimal quantizers for Radon random vectors in a Banach space. Zbl 1107.60003Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 11 2007 Multi-step Richardson-Romberg extrapolation: remarks on variance control and complexity. Zbl 1119.65004Pagès, Gilles 10 2007 High-resolution product quantization for Gaussian processes under sup-norm distortion. Zbl 1131.60029Luschgy, Harald; Pagès, Gilles 4 2007 Functional quantization of a class of Brownian diffusions: a constructive approach. Zbl 1091.60007Luschgy, Harald; Pagès, Gilles 19 2006 Discretization and simulation of the Zakai equation. Zbl 1139.60034Gobet, Emmanuel; Pagès, Gilles; Pham, Huyên; Printems, Jacques 18 2006 A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023Bally, Vlad; Pagès, Gilles; Printems, Jacques 70 2005 Functional quantization for numerics with an application to option pricing. Zbl 1161.91402Pagès, Gilles; Printems, Jacques 39 2005 Optimal quantization methods for nonlinear filtering with discrete-time observations. Zbl 1084.62095Pagès, Gilles; Pham, Huyên 22 2005 A two armed bandit type problem revisited. Zbl 1136.91327Pagès, Gilles 1 2005 Optimal quantization methods and applications to numerical problems in finance. Zbl 1138.91467Pagès, Gilles; Pham, Huyên; Printems, Jacques 45 2004 Sharp asymptotics of the functional quantization problem for Gaussian processes. Zbl 1049.60029Luschgy, Harald; Pagès, Gilles 35 2004 An optimal Markovian quantization algorithm for multi-dimensional stochastic control problems. Zbl 1111.65006Pagès, Gilles; Pham, Huyên; Printems, Jacques 21 2004 Quantization of probability distributions under norm-based distortion measures. Zbl 1066.60026Delattre, Sylvain; Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 18 2004 When can the two-armed bandit algorithm be trusted? Zbl 1048.62079Lamberton, Damien; Pagès, Gilles; Tarrès, Pierre 11 2004 Sharp asymptotics of the Kolmogorov entropy for Gaussian measures. Zbl 1060.60037Luschgy, Harald; Pagès, Gilles 8 2004 Local distortion and \(\mu\)-mass of the cells of one dimensional asymptotically optimal quantizers. Zbl 1114.62316Delattre, Sylvain; Fort, Jean-Claude; Pagès, Gilles 8 2004 A quantization algorithm for solving multidimensional discrete-time optimal stopping problems. Zbl 1042.60021Bally, Vlad; Pagès, Gilles 89 2003 Optimal quadratic quantization for numerics: the Gaussian case. Zbl 1029.65012Pagés, Gilles; Printems, Jacques 54 2003 Error analysis of the optimal quantization algorithm for obstacle problems. Zbl 1075.60523Bally, Vlad; Pagès, Gilles 43 2003 Recursive computation of the invariant distribution of a diffusion: The case of a weakly mean reverting drift. Zbl 1044.60069Lamberton, Damien; Pagès, Gilles 23 2003 Functional quantization and small ball probabilities for Gaussian processes. Zbl 1038.60032Graf, Siegfried; Luschgy, Harald; Pagès, Gilles 21 2003 First-order schemes in the numerical quantization method. Zbl 1056.91025Bally, V.; Pagès, G.; Printems, J. 11 2003 Functional quantization of Gaussian processes. Zbl 1027.60015Luschgy, Harald; Pagès, Gilles 34 2002 Recursive computation of the invariant distribution of a diffusion. Zbl 1006.60074Lamberton, Damien; Pagès, Gilles 33 2002 Asymptotics of optimal quantizers for some scalar distributions. Zbl 1013.60004Fort, Jean-Claude; Pagès, Gilles 13 2002 Decreasing step stochastic algorithms: a. s. behaviour of weighted empirical measures. Zbl 1019.65008Fort, Jean-Claude; Pagès, Gilles 3 2002 A stochastic quantization method for nonlinear problems. Zbl 1035.65008Bally, Vlad; Pagès, Gilles; Printems, Jacques 16 2001 Sur quelques algorithmes récursifs pour les probabilités numériques. Zbl 0998.60073Pagès, Gilles 14 2001 Asymptotic behavior of a Markovian stochastic algorithm with constant step. Zbl 0954.60057Fort, Jean-Claude; Pagès, Gilles 10 1999 A space quantization method for numerical integration. Zbl 0908.65012Pagès, Gilles 75 1998 Theoretical aspects of the SOM algorithm. Zbl 0917.68082Cottrell, M.; Fort, J. C.; Pagès, G. 16 1998 Convergence of the one-dimensional Kohonen algorithm. Zbl 0980.62066Benaïm, Michel; Fort, Jean-Claude; Pagès, Gilles 7 1998 About the multidimensional competitive learning vector quantization algorithm with constant gain. Zbl 0892.60082Bouton, Catherine; Pagès, Gilles 7 1997 Sequences with low discrepancy and pseudo-random numbers: Theoretical results and numerical tests. Zbl 0881.65016Pagès, Gilles; Xiao, Yi-Jun 2 1997 Convergence of stochastic algorithms: From the Kushner-Clark theorem to the Lyapounov functional method. Zbl 0881.62085Fort, Jean-Claude; Pagès, Gilles 13 1996 On the a.s. convergence of the Kohonen algorithm with a general neighborhood function. Zbl 0861.60076Fort, Jean-Claude; Pagès, Gilles 14 1995 ...and 8 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,060 Authors 74 Pagès, Gilles 19 Luschgy, Harald 16 Panloup, Fabien 16 Zhu, Sanguo 11 Słomiński, Leszek 10 Pham, Huyên 10 Warin, Xavier 9 Dereich, Steffen 9 Jentzen, Arnulf 9 Jourdain, Benjamin 9 Lemaire, Vincent 8 Belomestny, Denis 8 Bender, Christian 8 Bouchard, Bruno 8 Gobet, Emmanuel 7 Aletti, Giacomo 7 Alfonsi, Aurélien 7 Callegaro, Giorgia 7 Chassagneux, Jean-François 7 Fort, Jean-Claude 7 Graf, Siegfried 7 Kawai, Reiichiro 7 Lehalle, Charles-Albert 7 Sagna, Abass 6 Bao, Feng 6 Crimaldi, Irene 6 de Saporta, Benoîte 6 Ghiglietti, Andrea 6 Hutzenthaler, Martin 6 Kebaier, Ahmed 6 Lelong, Jérôme 6 Ludkovski, Michael 6 Schoenmakers, John G. M. 6 Touzi, Nizar 5 Bally, Vlad 5 Dufour, François 5 Fiorin, Lucio 5 Kruse, Thomas 5 Labart, Céline 5 Moulines, Eric 5 Pichler, Alois 5 Printems, Jacques 5 Szpruch, Lukasz 4 Alaya, Mohamed Ben 4 Bardou, Olivier 4 Cheridito, Patrick 4 Crisan, Dan O. 4 E, Weinan 4 Fort, Gersende 4 Frikha, Noufel 4 Gadat, Sébastien 4 Geiss, Christel 4 Giles, Michael B. 4 Grasselli, Martino 4 Guéant, Olivier 4 Huré, Côme 4 Lamberton, Damien 4 Laruelle, Sophie 4 Laurière, Mathieu 4 Mailler, Cécile 4 Menozzi, Stéphane 4 Pflug, Georg Ch. 4 Pironneau, Olivier 4 Rásonyi, Miklós 4 Rey, Clément 4 Ritter, Klaus 4 Roychowdhury, Mrinal Kanti 4 Rubenthaler, Sylvain 4 Scheutzow, Michael K. R. 4 Van Ackooij, Wim 4 Wilbertz, Benedikt 4 Wozabal, David 4 Zhao, Weidong 3 Amorino, Chiara 3 Aurzada, Frank 3 Bach, Francis R. 3 Bandyopadhyay, Antar 3 Barczy, Mátyás 3 Bayer, Christian 3 Becker, Sebastian 3 Bianchi, Pascal 3 Bonnans, Joseph Frédéric 3 Bras, Pierre 3 Cao, Yanzhao 3 Carmona, René A. 3 Cohen, Serge 3 Coquet, François 3 Cottrell, Marie 3 Crepey, Stephane 3 Durmus, Alain 3 Fang, Kai-Tai 3 Friz, Peter Karl 3 Gloter, Arnaud 3 Hajji, Kaouther 3 Honoré, Igor 3 Kesseböhmer, Marc 3 Kharroubi, Idris 3 Klimsiak, Tomasz 3 Kreitmeier, Wolfgang 3 Löhndorf, Nils ...and 960 more Authors all top 5 Cited in 192 Serials 74 Stochastic Processes and their Applications 48 The Annals of Applied Probability 26 Bernoulli 25 Quantitative Finance 17 Mathematical Finance 15 Journal of Mathematical Analysis and Applications 15 Monte Carlo Methods and Applications 12 SIAM Journal on Financial Mathematics 11 The Annals of Probability 11 Neural Networks 11 Annales de l’Institut Henri Poincaré. 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Mathematics 2 Annals of Finance ...and 92 more Serials all top 5 Cited in 39 Fields 509 Probability theory and stochastic processes (60-XX) 252 Numerical analysis (65-XX) 213 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 186 Statistics (62-XX) 75 Systems theory; control (93-XX) 65 Operations research, mathematical programming (90-XX) 44 Computer science (68-XX) 39 Partial differential equations (35-XX) 37 Information and communication theory, circuits (94-XX) 35 Calculus of variations and optimal control; optimization (49-XX) 31 Measure and integration (28-XX) 21 Dynamical systems and ergodic theory (37-XX) 19 Ordinary differential equations (34-XX) 17 Approximations and expansions (41-XX) 11 Operator theory (47-XX) 9 Number theory (11-XX) 9 Functional analysis (46-XX) 7 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 Integral equations (45-XX) 3 Convex and discrete geometry (52-XX) 3 Global analysis, analysis on manifolds (58-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Real functions (26-XX) 2 Difference and functional equations (39-XX) 2 Abstract harmonic analysis (43-XX) 2 Integral transforms, operational calculus (44-XX) 2 Mechanics of particles and systems (70-XX) 1 Group theory and generalizations (20-XX) 1 Potential theory (31-XX) 1 Differential geometry (53-XX) 1 General topology (54-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