Variance Reduction Methods for Simulation of Densities on Wiener Space

Català | Castellano

Kohatsu-Higa, Arturo; Pettersson, Roger. Variance Reduction Methods for Simulation of Densities on Wiener Space. 2005
http://hdl.handle.net/10230/946

To cite or link this document: http://hdl.handle.net/10230/946

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.
Document type:	Working paper
Date:	2005
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/)