Unbiased Monte Carlo estimate of stochastic differential equations expectations (Q5350276): Difference between revisions

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+Unbiased simulation of stochastic differential equations using parametrix expansions
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+A probabilistic interpretation of the parametrix method
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+Exact simulation of diffusions
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+Estimating Security Price Derivatives Using Simulation
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+Multilevel Monte Carlo Path Simulation
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+Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
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+A numerical algorithm for a class of BSDEs via the branching process
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+Unbiased simulation of stochastic differential equations
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+Exact retrospective Monte Carlo computation of arithmetic average Asian options
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+Approximate Integration of Stochastic Differential Equations
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+Expansion of the global error for numerical schemes solving stochastic differential equations
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