Items for "square field operator"

Dirichlet Forms in Simulation

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]...

Keywords: square field operator, Wiener space, Poisson space, Density, stochastic differential equation, Dirichlet form, error