Estimating multidimensional density functions for random variables in Wiener space

DOI10.1016/j.crma.2008.01.009zbMath1134.60045OpenAlexW2056057438MaRDI QIDQ2476540

Kazuhiro Yasuda, Arturo Kohatsu-Higa

Publication date: 20 March 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2008.01.009

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

• Applications of Malliavin calculus to Monte Carlo methods in finance
• Stochastic calculus of variations in mathematical finance.
• Positivity and lower bounds for the density of Wiener functionals
• The Malliavin Calculus and Related Topics
• Estimating Multidimensional Density Functions Using the Malliavin–Thalmaier Formula