Unbiased Monte Carlo estimate of stochastic differential equations expectations

DOI10.1051/ps/2017001zbMath1372.65015arXiv1601.03139OpenAlexW2962750647MaRDI QIDQ5350276

Mahamadou Doumbia, Xavier Warin, Nadia Oudjane

Publication date: 28 August 2017

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.03139

zbMATH Keywords

stochastic differential equationMonte Carlo methodinteracting particle systemsunbiased estimatevariance reduction methodIto processlinear parabolic PDEs

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of branching processes (60J85) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Second-order parabolic equations (35K10)

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An Unbiased Itô Type Stochastic Representation for Transport PDEs: A Toy Example ⋮ Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift ⋮ Probability density function of SDEs with unbounded and path-dependent drift coefficient ⋮ Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations ⋮ Nesting Monte Carlo for high-dimensional non-linear PDEs ⋮ Hybrid PDE solver for data-driven problems and modern branching

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