Localization of Wiener functionals of fractional regularity and applications
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spa.2014.03.010
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Bally, Vlad & Caramellino, Lucia, 2011. "Riesz transform and integration by parts formulas for random variables," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1332-1355, June.
- BALLY Vlad & TALAY Denis, 1996. "The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density," Monte Carlo Methods and Applications, De Gruyter, vol. 2(2), pages 93-128, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Guilan Cao & Kai He, 2021. "Estimates of the Difference Between Two Probability Densities of Wiener Functionals and Its Application," Journal of Theoretical Probability, Springer, vol. 34(2), pages 553-579, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Anna Knezevic & Nikolai Dokuchaev, 2019. "Approximating intractable short ratemodel distribution with neural network," Papers 1912.12615, arXiv.org, revised Apr 2024.
- Gobet, Emmanuel & Menozzi, Stéphane, 2004. "Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 201-223, August.
- Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006.
"Asymptotic properties of Monte Carlo estimators of diffusion processes,"
Journal of Econometrics, Elsevier, vol. 134(1), pages 1-68, September.
- Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO.
- Marcel Rindisbacher & Jérôme Detemple & René Garcia, 2004. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," Econometric Society 2004 North American Winter Meetings 483, Econometric Society.
- Kebaier, Ahmed & Kohatsu-Higa, Arturo, 2008. "An optimal control variance reduction method for density estimation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2143-2180, December.
- Brandt, Michael W. & Santa-Clara, Pedro, 2002.
"Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets,"
Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.
- Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
- Likibi Pellat, Rhoss & Menoukeu Pamen, Olivier, 2024. "Density analysis for coupled forward–backward SDEs with non-Lipschitz drifts and applications," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
- Rubenthaler, Sylvain, 2003. "Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 103(2), pages 311-349, February.
- Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
- Christophe Berthelot & Mireille Bossy & Nathalie Pistre, 2001. "Risque associé au contrat d'assurance-vie pour la compagnie d'assurance," Économie et Prévision, Programme National Persée, vol. 149(3), pages 73-85.
- Masaaki Fukasawa, 2010. "Discretization error of Stochastic Integrals," Papers 1004.2107, arXiv.org.
- Löcherbach, E., 2018. "Absolute continuity of the invariant measure in piecewise deterministic Markov Processes having degenerate jumps," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1797-1829.
- Gobet, Emmanuel, 2000. "Weak approximation of killed diffusion using Euler schemes," Stochastic Processes and their Applications, Elsevier, vol. 87(2), pages 167-197, June.
- repec:hal:wpaper:hal-00727430 is not listed on IDEAS
More about this item
Keywords
Fractional order; Donsker’s delta function; Integration by parts; Non-Markovian; Euler scheme; Convergence rate;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:124:y:2014:i:8:p:2543-2582. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.