Estimating Multidimensional Density Functions Using the Malliavin–Thalmaier Formula
نویسندگان
چکیده
منابع مشابه
Estimating Multidimensional Density Functions Using the Malliavin-Thalmaier Formula
The Malliavin-Thalmaier formula was introduced in [8] as an alternative expression for the density of a multivariate smooth random variable in Wiener space. In comparison with classical integration by parts formulae, this alternative formulation requires the application of the integration by parts formula only once to obtain an expression that can be simulated. Therefore this expression is free...
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The Malliavin-Thalmaier formula was introduced in [7] for use in Monte-Carlo simulation. This is an integration by parts formula for high dimensional probability density functions. But when this formula is applied directly for computer simulation, we show that it is unstable. We propose an approximation to the Malliavin-Thalmaier formula. In the first part of this paper, we prove the central li...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2009
ISSN: 0036-1429,1095-7170
DOI: 10.1137/070687359