Monte Carlo Malliavin Computation of the Sensitivities of Solutions of SPDEs

DOI10.1137/050630519zbMath1196.60099OpenAlexW1983934232MaRDI QIDQ3654420

Li-Xin Wang, René A. Carmona

Publication date: 6 January 2010

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/87ae754dde4af1750750f3902418da6e2c64e339

zbMATH Keywords

Malliavin calculustime reversalparameter sensitivities

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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