The Nyström method for functional quantization with an application to the fractional Brownian motion

In this article, the so-called "Nystrom method" is tested to compute optimal quantizers of Gaussian processes. In particular, we derive the optimal quantization of the fractional Brownian motion by approximating the first terms of its Karhunen-Loeve decomposition. A numerical test of the "functional stratification" variance reduction algorithm is performed with the fractional Brownian motion.

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