Unbiased simulation of stochastic differential equations using parametrix expansions

DOI10.3150/16-BEJ803zbMath1393.60082OpenAlexW2566192370MaRDI QIDQ527478

Arturo Kohatsu-Higa, Patrik Andersson

Publication date: 11 May 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/16-bej803

zbMATH Keywords

importance samplingMonte Carlo methodparametrixmultidimensional diffusion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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