|
Title:
|
Variance Reduction Methods for Simulation of Densities on Wiener Space
|
|
Author:
|
Kohatsu-Higa, Arturo; Pettersson, Roger
|
|
Other authors:
|
Universitat Pompeu Fabra. Departament d'Economia i Empresa |
|
Abstract:
|
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. |
|
Publication date:
|
2005-09-15 |
|
Subject(s):
|
Stochastic differential equations, weak approximation, variance reduction, kernel density estimation |
|
Rights:
|
Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
|
Document type:
|
Working Paper |
|
Share:
|
|
