Variance Reduction Methods for Simulation of Densities on Wiener Space
نویسندگان
چکیده
منابع مشابه
Variance Reduction Methods for Simulation of Densities on Wiener Space
We develop a general error analysis framework for the Monte Carlo simulation of densities for functionals in Wiener space. We also study variance reduction methods with the help of Malliavin derivatives. For this, we give some general heuristic principles which are applied to di usion processes. A comparison with kernel density estimates is made. Departament d'Economia, Universitat Pompeu Fabra...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2002
ISSN: 0036-1429,1095-7170
DOI: 10.1137/s0036142901385507