Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations (Q2196378): Difference between revisions

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+Closed-form likelihood expansions for multivariate diffusions
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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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+Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process
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+Unbiased Monte Carlo estimate of stochastic differential equations expectations
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+Unbiased simulation of stochastic differential equations
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+Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
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+Linear trend exclusion for models defined with stochastic differential and difference equations
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+The Malliavin Calculus and Related Topics
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+Unbiased Estimation with Square Root Convergence for SDE Models
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+Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
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+Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
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+Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
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