Variance Reduction Methods for Simulation of Densities on Wiener Space
نویسندگان
چکیده
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 di usion processes. A comparison with kernel density estimates is made. Departament d'Economia, Universitat Pompeu Fabra, Ram on Trias Fargas 25-27, 08005 Barcelona, Spain ([email protected]), partially supported by the grants PB98-1059, BFM 2000-807 and BFM 2000-0598 of the Ministerio de Ciencia y Tecnologia Matematiska och Systemtekniska Institutionen, V axjo Universitet, Vejdes Plats 7, S-351 95 Vaxjo, Sweden ([email protected]), partially supported by the EU grant ERBF MRX CT96 0075A. 1 2 A. KOHATSU-HIGA AND R. PETTERSSON
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ورودعنوان ژورنال:
- SIAM J. Numerical Analysis
دوره 40 شماره
صفحات -
تاریخ انتشار 2002