Functional quantization rate and mean regularity of processes with an application to Lévy processes

Details Functional quantization rate and mean regularity of processes with an application to Lévy processes Functional quantization rate and mean regularity of processes with an application to Lévy processes

2006-01-31

arxiv.org/abs/math/0601774v4

Mathematics

Probability

43p., issued in Annals of Applied Probability, 18(2):427-469

Scientific paper

We investigate the connections between the mean pathwise regularity of stochastic processes and their L^r(P)-functional quantization rates as random variables taking values in some L^p([0,T],dt)-spaces (0 < p <= r). Our main tool is the Haar basis. We then emphasize that the derived functional quantization rate may be optimal (e.g., for Brownian motion or symmetric stable processes) so that the rate is optimal as a universal upper bound. As a first application, we establish the O((log N)^{-1/2}) upper bound for general It\^o processes which include multidimensional diffusions. Then, we focus on the specific family of L\'evy processes for which we derive a general quantization rate based on the regular variation properties of its L\'evy measure at 0. The case of compound Poisson processes, which appear as degenerate in the former approach, is studied specifically: we observe some rates which are between the finite-dimensional and infinite-dimensional ``usual'' rates

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