Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
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Publication:4730556
DOI10.1080/17442508908833581zbMath0681.60051OpenAlexW1990740279MaRDI QIDQ4730556
Publication date: 1989
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508908833581
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Online Smoothing for Diffusion Processes Observed with Noise ⋮ Wong-Zakai approximations for stochastic differential equations ⋮ Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations ⋮ Unbiased simulation of stochastic differential equations ⋮ Simulation of jump diffusions and the pricing of options ⋮ Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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