Variance Reduction Methods for Simulation of Densities on Wiener Space
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kernel density estimationMalliavin calculusstochastic differential equationsvariance reductionweak approximations
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
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Cited in
(26)- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
- Estimating multidimensional density functions for random variables in Wiener space
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- An optimal control variance reduction method for density estimation
- Improving Monte Carlo simulations by Dirichlet forms
- Approximation of quantiles of components of diffusion processes.
- Variance reduction techniques for estimation of integrals over a set of branching trajectories
- Weak convergence of the Euler scheme for stochastic differential delay equations
- Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model
- Dirichlet Forms in Simulation
- Multidimensional quasi-Monte Carlo Malliavin Greeks
- Local Vega Index and Variance Reduction Methods
- Robust Variance Reduction for Random Walk Methods
- Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
- Integration by Parts for Point Processes and Monte Carlo Estimation
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
- Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
- Convergence of the Euler–Maruyama method for stochastic fractional delay differential equations
- A stochastic version of the jansen and rit neural mass model: analysis and numerics
- 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
- Error expansion for the discretization of backward stochastic differential equations
- Simulation of diffusions by means of importance sampling paradigm
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