Kebaier, Ahmed; Kohatsu-Higa, Arturo - In: Stochastic Processes and their Applications 118 (2008) 12, pp. 2143-2180
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....