Dirichlet Forms in Simulation

DOI10.1515/156939605777438541MaRDI QIDQ3367272zbMATH OpenOpenAlexFDO

Authors Nicolas Bouleau

Publication date 24 January 2006

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0610486

zbMATH Keywords

Monte Carlo computationPoisson spacesquared field operationstochastic differential equationWiener space

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Abstract: Equipping the probability space with a local Dirichlet form with square field operator $Gamma$ and generator $A$ allows to improve Monte Carlo computations of expectations, densities, and conditional expectations, as soon as we are able to simulate a random variable $X$ together with $Gamma[X]$ and $A[X]$. We give examples on the Wiener space, on the Poisson space and on the Monte Carlo space. When $X$ is real-valued we give an explicit formula yielding the density at the speed of the law of large numbers.

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Cites work

• Dirichlet forms and analysis on Wiener space
• Error Calculus and Path Sensitivity in Financial Models
• Error calculus for finance and physics. The language of Dirichlet forms.
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• Improving Monte Carlo simulations by Dirichlet forms
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Variance Reduction Methods for Simulation of Densities on Wiener Space

Cited in

(3)

• Improving Monte Carlo simulations by Dirichlet forms
• scientific article; zbMATH DE number 1859203 (Why is no real title available?)
• On simulation and propagating EOL forms

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