On the simulation of some functionals of diffusion processes

MaRDI QIDQ2705419zbMATH OpenFDO

Authors Roger Pettersson, Arturo Kohatsu-Higa

Publication date 21 March 2001

Published in RIMS Kokyuroku (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic analysis (60H99)

Cited in

(3)

• Estimates of the difference between two probability densities of Wiener functionals and its application
• Localization of Wiener functionals of fractional regularity and applications
• Optimal Malliavin Weighting Function for the Computation of the Greeks

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