Estimating multidimensional density functions for random variables in Wiener space
DOI10.1016/J.CRMA.2008.01.009zbMATH Open1134.60045OpenAlexW2056057438MaRDI QIDQ2476540FDOQ2476540
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
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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 (5)
- Estimating multidimensional density functions using the Malliavin-Thalmaier formula
- Riesz transform and integration by parts formulas for random variables
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
- 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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