1. INTEGRATION BY PARTS FOR POINT PROCESSES AND MONTE CARLO ESTIMATION.
- Author
-
Privault, Nicolas and Xiao Wei
- Subjects
POINT processes ,MONTE Carlo method ,STOCHASTIC processes ,RANDOM variables ,MALLIAVIN calculus ,MEASURE theory ,STOCHASTIC models - Abstract
We develop an integration by parts technique for point processes, with application to the computation of sensitivities via Monte Carlo simulations in stochastic models with jumps. The method is applied to density estimation with respect to the Lebesgue measure via a modified kernel estimator which is less sensitive to variations of the bandwidth parameter than standard kernel estimators. This applies to random variables whose densities are not analytically known and requires the knowledge of the point process jump times. [ABSTRACT FROM AUTHOR]
- Published
- 2007
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