Estimating multidimensional density functions for random variables in Wiener space
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Publication:2476540
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
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