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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 diffusion processes. A comparison with kernel density estimates is made
Year of publication:
2002
Authors: Kohatsu-Higa, Arturo ; Pettersson, Roger
Publisher: [S.l.] : SSRN
Subject: Simulation | Theorie | Theory
Description of contents: Abstract [papers.ssrn.com]
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