Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals

DOI10.1016/0021-9991(88)90020-4zbMATH Open0658.65053OpenAlexW2046792515MaRDI QIDQ1111339FDOQ1111339

Wolfgang Wagner

Publication date: 1988

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-9991(88)90020-4

zbMATH Keywords

numerical examplesalgorithmfunctional integralsunbiased Monte Carlo estimatorsvariance reduction problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Numerical solutions to equations with linear operators (65J10) Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05)

Cites Work

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• Equation of State Calculations by Fast Computing Machines
• Variance reduction in Monte Carlo computations using multi-dimensional Hermite polynomials
• Unbiased Monte Carlo evaluation of certain functional integrals
• A ``Simpson's rule for the numerical evaluation of Wiener's integrals in function space
• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
• Corrigenda
• Approximation of a Class of Wiener Integrals

Cited In (12)

• De-biasing particle filtering for a continuous time hidden Markov model with a Cox process observation model
• Subsampling MCMC -- an introduction for the survey statistician
• On the existence of unbiased Monte Carlo estimators
• Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC
• Exact retrospective Monte Carlo computation of arithmetic average Asian options
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Unbiased Monte Carlo evaluation of certain functional integrals
• Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
• Unbiased and multilevel methods for a class of diffusions partially observed via marked point processes
• Unbiased simulation of stochastic differential equations

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