Integration by Parts for Point Processes and Monte Carlo Estimation

DOI10.1239/JAP/1189717546MaRDI QIDQ5440650zbMATH OpenOpenAlexFDO

Authors Xiao Wei, Nicolas Privault

Publication date 5 February 2008

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1189717546

zbMATH Keywords

Malliavin calculussensitivity analysis

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov renewal processes, semi-Markov processes (60K15) Density estimation (62G07) Monte Carlo methods (65C05)

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Cites work

• A Malliavin calculus approach to sensitivity analysis in insurance
• An Introduction to the Theory of Point Processes
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Computation of Greeks using Malliavin's calculus in jump type market models
• Computations of Greeks in a market with jumps via the Malliavin calculus
• scientific article; zbMATH DE number 2133321 (Why is no real title available?)
• scientific article; zbMATH DE number 4122983 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• scientific article; zbMATH DE number 3307920 (Why is no real title available?)
• Integration by parts for Poisson processes
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Malliavin Monte Carlo Greeks for jump diffusions
• On Estimation of a Probability Density Function and Mode
• Remarks on Some Nonparametric Estimates of a Density Function
• Variance Reduction Methods for Simulation of Densities on Wiener Space

Cited in

(3)

• Differentiating densities on smooth manifolds
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Random rotational invariance of integration by parts formulas within a Bismut-type approach

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