Estimating multidimensional density functions for random variables in Wiener space

DOI10.1016/J.CRMA.2008.01.009zbMATH Open1134.60045OpenAlexW2056057438MaRDI QIDQ2476540FDOQ2476540

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

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

Cites Work

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

Cited In (3)

• Riesz transform and integration by parts formulas for random variables
• On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
• Optimal estimation of shell thickness in Cutland’s construction of Wiener measure

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