The Malliavin gradient method for the calibration of stochastic dynamical models (Q2493710): Difference between revisions
From MaRDI portal
Latest revision as of 17:01, 24 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Malliavin gradient method for the calibration of stochastic dynamical models |
scientific article |
Statements
The Malliavin gradient method for the calibration of stochastic dynamical models (English)
0 references
16 June 2006
0 references
The author considers the minimization of the sum of squares of differences between certain functionals of diffusions and their expectations. It is based on Malliavin calculus and involves Monte Carlo simulation of discrete time approximations of diffusions. The proposed technique has advantages when the functionals are not continuous or have singularities.
0 references
Monte Carlo simulation
0 references
Malliavin calculus
0 references
gradient method
0 references
calibration
0 references
diffusion-models
0 references
optimization
0 references
0 references
