Unbiased Monte Carlo evaluation of certain functional integrals

DOI10.1016/0021-9991(87)90017-9zbMath0619.65011OpenAlexW2062050567MaRDI QIDQ1089719

Wolfgang Wagner

Publication date: 1987

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-9991(87)90017-9

zbMATH Keywords

confidence intervalsMonte Carlo methodsMarkov processvariance reductionfunctional integralsstatistical errortransition functionsystematic errorFeynman-Kac's type formulasvon Neumann-Ulam scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Feynman integrals and graphs; applications of algebraic topology and algebraic geometry (81Q30) Numerical quadrature and cubature formulas (65D32) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (8)

Importance sampling for Kolmogorov backward equations ⋮ Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals ⋮ A survey of numerical methods for stochastic differential equations ⋮ Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples ⋮ Exact retrospective Monte Carlo computation of arithmetic average Asian options ⋮ Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations ⋮ On Simulating Wiener Integrals and Their Expectations ⋮ On nonnegative unbiased estimators

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• Corrigenda

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