An optimal control variance reduction method for density estimation

DOI10.1016/J.SPA.2008.01.006MaRDI QIDQ2518612zbMATH OpenOpenAlexFDO

Authors Ahmed Kebaier, Arturo Kohatsu-Higa

Publication date 16 January 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2008.01.006

zbMATH Keywords

central limit theoremkernel density estimationMalliavin calculusstochastic differential equationsvariance reductionweak approximation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Density estimation (62G07) Monte Carlo methods (65C05)

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Cites work

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Cited in

(9)

• Convergence in distribution norms in the CLT for non identical distributed random variables
• On the optimization of approximate control variates with parametrically defined estimators
• An improved KF-RBF based estimation algorithm for coverage control with unknown density function
• Multilevel Monte Carlo approximation of distribution functions and densities
• scientific article; zbMATH DE number 519889 (Why is no real title available?)
• Optimal control designs using predicting densities for the multivariate linear model
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• Densities of stochastic functional differential equation and its discretizations
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

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