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• W1967224735 abstract "We study the problem of density estimation of a non-degenerate diffusion using kernel functions. Thanks to Malliavin calculus techniques, we obtain an expansion of the discretization error. Then, we introduce a new control variate method in order to reduce the variance in the density estimation. We prove a stable law convergence theorem of the type obtained in Jacod–Kurtz–Protter for the first Malliavin derivative of the error process, which leads us to get a CLT for the new control variate algorithm. This CLT gives us a precise description of the optimal parameters of the method." @default.
• W1967224735 created "2016-06-24" @default.
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• W1967224735 date "2008-12-01" @default.
• W1967224735 modified "2023-10-18" @default.
• W1967224735 title "An optimal control variance reduction method for density estimation" @default.
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• W1967224735 doi "https://doi.org/10.1016/j.spa.2008.01.006" @default.
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