Improving Monte Carlo simulations by Dirichlet forms

DOI10.1016/j.crma.2005.07.017zbMath1082.65003arXiv1301.6329OpenAlexW2063465179MaRDI QIDQ2565527

Nicolas Bouleau

Publication date: 27 September 2005

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.6329

zbMATH Keywords

probability spaceserror structureslocal Dirichlet formsdensity explicit formulaMonte Carlo simulations of expectations and densitiesWiener spaces, Poisson spaces, Monte Carlo spaces

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Probability theory on linear topological spaces (60B11)

Related Items (2)

When and how an error yields a Dirichlet form ⋮ Dirichlet Forms in Simulation

Cites Work

• Dirichlet forms and analysis on Wiener space
• Numerical error for SDE: Asymptotic expansion and hyperdistributions
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Variance Reduction Methods for Simulation of Densities on Wiener Space

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