Dirichlet forms in simulation
| dc.creator | Bouleau, Nicolas | |
| dc.date | 2006-10-16 | |
| dc.date.accessioned | 2026-07-07T07:39:45Z | |
| dc.date.available | 2026-07-07T07:39:45Z | |
| dc.description | Equipping the probability space with a local Dirichlet form with square field operator $Γ$ and generator $A$ allows to improve Monte Carlo computations of expectations, densities, and conditional expectations, as soon as we are able to simulate a random variable $X$ together with $Γ[X]$ and $A[X]$. We give examples on the Wiener space, on the Poisson space and on the Monte Carlo space. When $X$ is real-valued we give an explicit formula yielding the density at the speed of the law of large numbers. | |
| dc.identifier | https://arxiv.org/abs/math/0610486 | |
| dc.identifier | http://arxiv.org/abs/math/0610486 | |
| dc.identifier | Monte Carlo Methods and Applications 11 (2005) n4, 385-396 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/121571 | |
| dc.subject | Probability | |
| dc.subject | 31C25 60H07 65G99 65C05 65C20 | |
| dc.title | Dirichlet forms in simulation | |
| dc.type | text |