English, Article, Journal or magazine article edition: Variance Reduction Methods for Simulation of Densities on Wiener Space Arturo Kohatsu; Roger Pettersson

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/155187
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Variance Reduction Methods for Simulation of Densities on Wiener Space
Author
  • Arturo Kohatsu
  • Roger Pettersson
Physical Description
  • preprint
Notes
  • We develop a general error analysis framework for the Monte Carlo simulation of densities for functionals in Wiener space. We also study variance reduction methods with the help of Malliavin derivatives. For this, we give some general heuristic principles which are applied to diffusion processes. A comparison with kernel density estimates is made.
  • Stochastic differential equations, weak approximation, variance reduction, kernel density estimation
  • RePEc:upf:upfgen:597
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment