Malliavin-based multilevel Monte Carlo estimators for densities of max-stable processes

DOI10.1007/978-3-319-91436-7_4zbMath1412.65003arXiv1702.00428OpenAlexW2586313732MaRDI QIDQ1722508

Zhipeng Liu, Jose H. Blanchet

Publication date: 18 February 2019

Full work available at URL: https://arxiv.org/abs/1702.00428

zbMATH Keywords

Gaussian processesMalliavin calculusdensity estimationmax-stable processunbiased Monte Carlo estimatorsmultivariate densities

Mathematics Subject Classification ID

Density estimation (62G07) Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stable stochastic processes (60G52)

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