The Malliavin gradient method for the calibration of stochastic dynamical models (Q2493710)
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scientific article; zbMATH DE number 5032996
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| English | The Malliavin gradient method for the calibration of stochastic dynamical models |
scientific article; zbMATH DE number 5032996 |
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The Malliavin gradient method for the calibration of stochastic dynamical models (English)
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16 June 2006
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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.
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Monte Carlo simulation
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Malliavin calculus
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gradient method
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calibration
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diffusion-models
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optimization
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0.91630805
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0.8737685
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0.86827224
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0.8648877
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0.8634868
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0.8621885
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0.8612611
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