Variance Reduction Methods for Simulation of Densities on Wiener Space

DOI10.1137/S0036142901385507MaRDI QIDQ4787273zbMATH OpenOpenAlexFDO

Authors 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 calculuskernel density estimationvariance reductionstochastic differential equationsweak approximations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) 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) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(25)

• Dirichlet Forms in Simulation
• Simulation of diffusions by means of importance sampling paradigm
• Estimating multidimensional density functions for random variables in Wiener space
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model
• Robust Variance Reduction for Random Walk Methods
• Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
• Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
• An optimal control variance reduction method for density estimation
• Variance reduction techniques for estimation of integrals over a set of branching trajectories
• Error expansion for the discretization of backward stochastic differential equations
• Multidimensional quasi-Monte Carlo Malliavin Greeks
• Weak convergence of the Euler scheme for stochastic differential delay equations
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options
• Improving Monte Carlo simulations by Dirichlet forms
• A stochastic version of the jansen and rit neural mass model: analysis and numerics
• A duality approach for the weak approximation of 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
• Integration by Parts for Point Processes and Monte Carlo Estimation
• Local Vega Index and Variance Reduction Methods
• Approximation of quantiles of components of diffusion processes.
• Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
• Euler scheme and tempered distributions

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