Estimating multidimensional density functions for random variables in Wiener space

DOI10.1016/J.CRMA.2008.01.009MaRDI QIDQ2476540zbMATH OpenOpenAlexFDO

Authors Arturo Kohatsu-Higa, Kazuhiro Yasuda

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

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

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Cites work

• Applications of Malliavin calculus to Monte Carlo methods in finance
• Estimating multidimensional density functions using the Malliavin-Thalmaier formula
• Positivity and lower bounds for the density of Wiener functionals
• Stochastic calculus of variations in mathematical finance.
• The Malliavin Calculus and Related Topics

Cited in

(5)

• On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
• Riesz transform and integration by parts formulas for random variables
• Estimating multidimensional density functions using the Malliavin-Thalmaier formula
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• Optimal estimation of shell thickness in Cutland’s construction of Wiener measure

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