{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,3]],"date-time":"2026-04-03T02:04:30Z","timestamp":1775181870026,"version":"3.50.1"},"reference-count":0,"publisher":"Walter de Gruyter GmbH","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2015,3,1]]},"abstract":"<jats:title>Abstract<\/jats:title>\n               <jats:p>In this article, we propose several quantization-based stratified sampling methods to reduce the variance of a Monte Carlo simulation. Theoretical aspects of stratification lead to a strong link between optimal quadratic quantization and the variance reduction that can be achieved with stratified sampling. We first put the emphasis on the consistency of quantization for partitioning the state space in stratified sampling methods in both finite and infinite-dimensional cases. We show that the proposed quantization-based strata design has uniform efficiency among the class of Lipschitz continuous functionals.\nThen a stratified sampling algorithm based on product functional quantization is proposed for path-dependent functionals of multi-factor diffusions. The method is also available for other Gaussian processes such as Brownian bridge or Ornstein\u2013Uhlenbeck processes. We derive in detail the case of Ornstein\u2013Uhlenbeck processes.\nWe also study the balance between the algorithmic complexity of the simulation and the variance reduction factor.<\/jats:p>","DOI":"10.1515\/mcma-2014-0010","type":"journal-article","created":{"date-parts":[[2015,2,6]],"date-time":"2015-02-06T17:01:23Z","timestamp":1423242083000},"page":"1-32","source":"Crossref","is-referenced-by-count":14,"title":["Functional quantization-based stratified sampling methods"],"prefix":"10.1515","volume":"21","author":[{"given":"Sylvain","family":"Corlay","sequence":"first","affiliation":[{"name":"Bloomberg L.P. Quantitative Research, 731 Lexington avenue, New York, NY 10022, USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Gilles","family":"Pag\u00e8s","sequence":"additional","affiliation":[{"name":"Laboratoire de Probabilit\u00e9s et Mod\u00e8les Al\u00e9atoires, UMR 7599, Universit\u00e9 Paris 6, case 188, 4, pl. Jussieu, F-75252 Paris Cedex 5, France"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"374","published-online":{"date-parts":[[2015,2,6]]},"container-title":["Monte Carlo Methods and Applications"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2014-0010\/xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2014-0010\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,4,1]],"date-time":"2023-04-01T15:02:46Z","timestamp":1680361366000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/mcma-2014-0010\/html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,2,6]]},"references-count":0,"journal-issue":{"issue":"1","published-online":{"date-parts":[[2015,3,1]]},"published-print":{"date-parts":[[2015,3,1]]}},"alternative-id":["10.1515\/mcma-2014-0010"],"URL":"https:\/\/doi.org\/10.1515\/mcma-2014-0010","relation":{},"ISSN":["0929-9629","1569-3961"],"issn-type":[{"value":"0929-9629","type":"print"},{"value":"1569-3961","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,2,6]]}}}