76 research outputs found
An optimal transportation approach for assessing almost stochastic order
When stochastic dominance does not hold, we can improve
agreement to stochastic order by suitably trimming both distributions. In this
work we consider the Wasserstein distance, , to stochastic
order of these trimmed versions. Our characterization for that distance
naturally leads to consider a -based index of disagreement with
stochastic order, . We provide asymptotic
results allowing to test vs , that,
under rejection, would give statistical guarantee of almost stochastic
dominance. We include a simulation study showing a good performance of the
index under the normal model
Quadratic optimal functional quantization of stochastic processes and numerical applications
In this paper, we present an overview of the recent developments of
functional quantization of stochastic processes, with an emphasis on the
quadratic case. Functional quantization is a way to approximate a process,
viewed as a Hilbert-valued random variable, using a nearest neighbour
projection on a finite codebook. A special emphasis is made on the
computational aspects and the numerical applications, in particular the pricing
of some path-dependent European options.Comment: 41 page
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