Dirichlet Forms in Simulation

DOI10.1515/156939605777438541zbMath1085.65006arXivmath/0610486OpenAlexW1994954260MaRDI QIDQ3367272

Nicolas Bouleau

Publication date: 24 January 2006

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0610486

zbMATH Keywords

stochastic differential equationPoisson spaceWiener spaceMonte Carlo computationsquared field operation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05)

Cites Work

• Dirichlet forms and analysis on Wiener space
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Error calculus for finance and physics. The language of Dirichlet forms.
• Improving Monte Carlo simulations by Dirichlet forms
• Error Calculus and Path Sensitivity in Financial Models
• Variance Reduction Methods for Simulation of Densities on Wiener Space
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