To access the full text documents, please follow this link: http://hdl.handle.net/10230/946

Variance reduction methods for simulation of densities on Wiener space
Kohatsu, Arturo; Pettersson, Roger
Universitat Pompeu Fabra. Departament d'Economia i Empresa
We develop a general error analysis framework for the Monte Carlo simulationof densities for functionals in Wiener space. We also study variancereduction methods with the help of Malliavin derivatives. For this, wegive some general heuristic principles which are applied to diffusionprocesses. A comparison with kernel density estimates is made.
2005-09-15
Statistics, Econometrics and Quantitative Methods
stochastic differential equations
weak approximation
variance reduction
kernel density estimation
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
Working Paper
         

Show full item record

 

Coordination

 

Supporters