Unbiased Monte Carlo estimate of stochastic differential equations expectations (Q5350276)
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scientific article; zbMATH DE number 6766327
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| English | Unbiased Monte Carlo estimate of stochastic differential equations expectations |
scientific article; zbMATH DE number 6766327 |
Statements
Unbiased Monte Carlo estimate of stochastic differential equations expectations (English)
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28 August 2017
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unbiased estimate
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linear parabolic PDEs
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interacting particle systems
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Monte Carlo method
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Ito process
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stochastic differential equation
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variance reduction method
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0.8544989228248596
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0.8470011353492737
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0.8224088549613953
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0.8074541687965393
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