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Publications
"Optimal quantization methods for nonlinear filtering with discrete-time observations",
Bernoulli, vol. 11(5), 2005.
Abstract
"Optimal quantization for the pricing of swing options",
Applied Mathematical Finance, vol. 16, issue 2, pp. 183-217, 2009.
Abstract
"Optimal quantization for Finance: from random vectors to stochastic processes",
Handbook of Numerical Analysis, vol. 15, 2008.
Abstract
Download: Handbook_2008_Quantization_in_finance.pdf (478.77 KB)
"Optimal quantization : evolutionary algorithm vs stochastic gradient",
Proceedings of the 9th Joint Conference on Information Sciences: Atlantic Press, 2006.
Abstract
Download: Evolutionary-Algorithms.pdf (195.2 KB)
"Optimal quadratic quantization for numerics: the Gaussian case",
Monte Carlo Methods and Applications, vol. 9, pp. 135–166, 2003.
Abstract
Download: Gaussian Case.pdf (563.34 KB)
"An optimal Markovian quantization algorithm for multidimensional stochastic control problems",
Stochastics and Dynamics, vol. 4(4), pp. 501-545, 2004.
Abstract
"On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces",
Journal of Theoretical Probability, vol. 16(1), 2003.
Abstract
The Nyström method for functional quantization with an application to the fractional Brownian motion,
, 2010.
Abstract
Download: nystrom_quantization.pdf (457.33 KB)
"Multidimensional asymptotic quantization theory with $r$th power distortion measures",
Information Theory, IEEE Transactions on , vol. 28, issue 2, pp. 239 - 247, 1982.
Abstract
"Méthodes de quantification optimale pour le filtrage et applications à la finance",
Applied mathematics: Université Paris Dauphine, 2005.
Abstract
Download: PhD_AfefSELLAMI.pdf (1.35 MB)Introduction_Sellami.pdf (248.72 KB)
"Local distortion and µ-mass of the cells of one dimensional asymptotically optimal quantizers",
Communications in Statistics. Theory and Methods, vol. 33(5), 2004.
Abstract
"Linear transformations and the k-means clustering algorithm: applications to clustering curves",
Am Stat., vol. 61(1), pp. 34–40, 2007.
Abstract
"Least squares quantization in PCM",
Information Theory, IEEE Transactions on, vol. 28, no. 2, pp. 129–137, 1982.
Abstract
Intrinsic stationarity for vector quantization: Foundation of dual quantization,
, 2010.
Abstract
Download: Foundation of dual quantization.pdf (962.7 KB)
"High resolution quantization and entropy coding of jump processes",
Journal of Complexity, vol. 25, pp. 163-187, 2009.
Abstract
"Functional quantization rate and mean pathwise regularity of processes with an application to Lévy processes",
Annals of Applied Probability, vol. 18, pp. 427-469, 2008.
Abstract
"Functional quantization of Gaussian processes",
Journal of Functional Analysis, vol. 196, no. 2: Academic Press, pp. 486–531, December, 2002.
Abstract