Integration by parts for point processes and Monte Carlo estimation

Journal of Applied Probability

Volumn 44, Issue 3, 2007, Pages 806-823

  Privault, Nicolas ^a,b   Wei, Xiao ^c  

^a UNIVERSITÉ DE POITIERS   (France)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c CENTRAL UNIVERSITY OF FINANCE AND ECONOMICS   (China)

Author keywords

Density estimation; Kernel estimator; Malliavin calculus; Point process; Renewal process; Sensitivity analysis

Indexed keywords

EID: 35348900222     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1189717546     Document Type: Article

References (18)

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