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Licensed Unlicensed Requires Authentication Published by De Gruyter 2005

Dirichlet Forms in Simulation

  • Nicolas Bouleau

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.

Published Online: --
Published in Print: 2005-12-01

Copyright 2005, Walter de Gruyter

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