Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals

DOI10.1016/0021-9991(88)90020-4zbMath0658.65053OpenAlexW2046792515MaRDI QIDQ1111339

Wolfgang Wagner

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0021-9991(88)90020-4

zbMATH Keywords

algorithmnumerical examplesfunctional integralsunbiased Monte Carlo estimatorsvariance reduction problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to equations with linear operators (65J10) Numerical quadrature and cubature formulas (65D32) Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05)

Related Items (7)

The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC ⋮ Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations ⋮ Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations ⋮ Unbiased simulation of stochastic differential equations ⋮ Exact retrospective Monte Carlo computation of arithmetic average Asian options ⋮ Subsampling MCMC -- an introduction for the survey statistician ⋮ Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)

Cites Work

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• Unbiased Monte Carlo evaluation of certain functional integrals
• Variance reduction in Monte Carlo computations using multi-dimensional Hermite polynomials
• A ``Simpson's rule for the numerical evaluation of Wiener's integrals in function space
• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
• Equation of State Calculations by Fast Computing Machines
• Approximation of a Class of Wiener Integrals
• Corrigenda

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