Unbiased Estimation with Square Root Convergence for SDE Models

DOI10.1287/opre.2015.1404zbMath1347.65016OpenAlexW1925297253MaRDI QIDQ2795863

Publication date: 22 March 2016

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3b816b31a952ca439bc0978d6be54dc3b416eaf2

zbMATH Keywords

unbiased estimation stochastic differential equations exact estimation square root convergence rate

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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