Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift

DOI10.1051/ps/2022008zbMath1492.60200arXiv2011.10453OpenAlexW3109644381MaRDI QIDQ5096633

Noufel Frikha, Houzhi Li, Junchao Chen

Publication date: 18 August 2022

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.10453

zbMATH Keywords

stochastic differential equationsintegration by partsMonte Carlo simulator

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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