Variance reduction methods for simulation of densities on Wiener space

SIAM Journal on Numerical Analysis

Volumn 40, Issue 2, 2002, Pages 431-450

  Kohatsu Higa, Arturo ^a   Pettersson, Roger ^b  

^a UNIVERSITAT POMPEU FABRA   (Spain)

^b LINNAEUS UNIVERSITY   (Sweden)

Author keywords

Kernel density estimation; Stochastic differential equations; Variance reduction; Weak approximation

Indexed keywords

EID: 0038355030     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036142901385507     Document Type: Article

References (12)