Variance Reduction Methods for Simulation of Densities on Wiener Space
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Publication:4787273
DOI10.1137/S0036142901385507zbMath1019.60055MaRDI QIDQ4787273
Arturo Kohatsu-Higa, Roger Pettersson
Publication date: 5 January 2003
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Malliavin calculus; stochastic differential equations; variance reduction; kernel density estimation; weak approximations
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H07: Stochastic calculus of variations and the Malliavin calculus
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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