Unbiased Estimation using a Class of Diffusion Processes

DOI10.1016/j.jcp.2022.111643arXiv2203.03013MaRDI QIDQ6392941

Ajay Jasra, Nikolas Kantas, Hamza M. Ruzayqat, Dan Crisan, Alexandros Beskos

Publication date: 6 March 2022

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Numerical methods for ordinary differential equations (65Lxx) Probabilistic methods, stochastic differential equations (65Cxx)

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