Stein’s method for invariant measures of diffusions via Malliavin calculus
نویسندگان
چکیده
منابع مشابه
Steins method, Malliavin calculus and infinite-dimensional Gaussian analysis
This expository paper is a companion of the four one-hour tutorial lectures given in the occasion of the special month Progress in Steins Method, held at the University of Singapore in January 2009. We will explain how one can combine Steins method with Malliavin calculus, in order to obtain explicit bounds in the normal and Gamma approximation of functionals of in nite-dimensional Gaussian ...
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We consider a random variable X satisfying almost-sure conditions involving G := DX; DL X where DX is Xs Malliavin derivative and L 1 is the pseudo-inverse of the generator of the OrnsteinUhlenbeck semigroup. A lower(resp. upper-) bound condition on G is proved to imply a Gaussian-type lower (resp. upper) bound on the tail P [X > z]. Bounds of other natures are also given. A key ingredient is ...
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We derive and analyze Monte Carlo estimators of price sensitivities (“Greeks”) for contingent claims priced in a diffusion model. There have traditionally been two categories of methods for estimating sensitivities: methods that differentiate paths and methods that differentiate densities. A more recent line of work derives estimators through Malliavin calculus. The purpose of this article is t...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2012
ISSN: 0304-4149
DOI: 10.1016/j.spa.2012.02.005