Unbiased simulation of stochastic differential equations

DOI10.1214/17-AAP1281zbMath1386.65037arXiv1504.06107MaRDI QIDQ1704137

Xiaolu Tan, Nizar Touzi, Pierre Henry-Labordère

Publication date: 8 March 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.06107

zbMATH Keywords

linear parabolic PDEsregime switching diffusionunbiased simulation of SDEs

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Second-order parabolic equations (35K10)

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