An optimal control variance reduction method for density estimation

DOI10.1016/j.spa.2008.01.006zbMath1255.60088OpenAlexW1967224735MaRDI QIDQ2518612

Arturo Kohatsu-Higa, Ahmed Kebaier

Publication date: 16 January 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.01.006

zbMATH Keywords

Malliavin calculusstochastic differential equationscentral limit theoremweak approximationvariance reductionkernel density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (3)

Convergence in distribution norms in the CLT for non identical distributed random variables ⋮ Multilevel Monte Carlo Approximation of Distribution Functions and Densities ⋮ On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures

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