Transition density estimation for stochastic differential equations via forward-reverse representations
暂无分享,去创建一个
John Schoenmakers | Vladimir Spokoiny | Grigori N. Milstein | V. Spokoiny | G. Milstein | J. Schoenmakers
[1] D. Talay,et al. The law of the Euler scheme for stochastic differential equations , 1996 .
[2] B. Silverman. Density estimation for statistics and data analysis , 1986 .
[3] Mireille Bossy,et al. A stochastic particle method for the McKean-Vlasov and the Burgers equation , 1997, Math. Comput..
[4] L. Devroye,et al. Nonparametric Density Estimation: The L 1 View. , 1985 .
[5] C. D. Kemp,et al. Density Estimation for Statistics and Data Analysis , 1987 .
[6] Ü. Rannik,et al. Evaluation of mean concentration and fluxes in turbulent flows by Lagrangian stochastic models , 2001 .
[7] Denis Talay,et al. The law of the Euler scheme for stochastic differential equations , 1996, Monte Carlo Methods Appl..
[8] D. Thomson. Criteria for the selection of stochastic models of particle trajectories in turbulent flows , 1987, Journal of Fluid Mechanics.
[9] Arturo Kohatsu-Higa,et al. High order Itô-Taylor approximations to heat kernels , 1997 .
[10] J. Bretagnolle,et al. Estimation des densités: risque minimax , 1978 .
[11] R. Seydel. Numerical Integration of Stochastic Differential Equations , 2004 .
[12] Leslie Greengard,et al. The Fast Gauss Transform , 1991, SIAM J. Sci. Comput..
[13] David W. Scott,et al. Multivariate Density Estimation: Theory, Practice, and Visualization , 1992, Wiley Series in Probability and Statistics.
[14] G. N. Milstein,et al. Monte Carlo construction of hedging strategies against multi-asset European claims , 2002 .
[15] Nigel J. Newton. Variance Reduction for Simulated Diffusions , 1994, SIAM J. Appl. Math..
[16] E. Helfand. Numerical integration of stochastic differential equations , 1979, The Bell System Technical Journal.
[17] D. Talay,et al. Expansion of the global error for numerical schemes solving stochastic differential equations , 1990 .
[18] Karl Sabelfeld,et al. Direct and Adjoint Monte Carlo Algorithms for the Footprint Problem , 1999, Monte Carlo Methods Appl..
[19] W. Wagner. Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples , 1988 .