Variance Reduction Methods for Simulation of Densities on Wiener Space

DOI10.1137/S0036142901385507zbMath1019.60055OpenAlexW1980932137MaRDI QIDQ4787273

Roger Pettersson, Arturo Kohatsu-Higa

Publication date: 5 January 2003

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036142901385507

zbMATH Keywords

Malliavin calculusstochastic differential equationsvariance reductionkernel density estimationweak approximations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity, Euler scheme and tempered distributions, Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options, A duality approach for the weak approximation of stochastic differential equations, Multidimensional quasi-Monte Carlo Malliavin Greeks, Error expansion for the discretization of backward stochastic differential equations, Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations, Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting, Local Vega Index and Variance Reduction Methods, Integration by Parts for Point Processes and Monte Carlo Estimation, Simulation of diffusions by means of importance sampling paradigm, Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise, A stochastic version of the jansen and rit neural mass model: analysis and numerics, Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression, Dirichlet Forms in Simulation, An optimal control variance reduction method for density estimation, A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS, Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations, Improving Monte Carlo simulations by Dirichlet forms, Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model, Approximation of quantiles of components of diffusion processes.