Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
From MaRDI portal
Publication:2196378
DOI10.1016/j.spa.2020.03.016OpenAlexW3016688278WikidataQ115341138 ScholiaQ115341138MaRDI QIDQ2196378
Patrik Andersson, Arturo Kohatsu-Higa, Tomooki Yuasa
Publication date: 2 September 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2020.03.016
Related Items (1)
Cites Work
- Linear trend exclusion for models defined with stochastic differential and difference equations
- Unbiased simulation of stochastic differential equations using parametrix expansions
- A probabilistic interpretation of the parametrix method
- Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
- Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
- Unbiased simulation of stochastic differential equations
- Closed-form likelihood expansions for multivariate diffusions
- Exact simulation of diffusions
- Unbiased Estimation with Square Root Convergence for SDE Models
- Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
- The Malliavin Calculus and Related Topics
- Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
- The Asymptotic Efficiency of Simulation Estimators
- Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
- Unbiased Estimators and Multilevel Monte Carlo
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
- Stochastic Approximation Finite Element Method: Analytical Formulas for Multidimensional Diffusion Process
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Unbiased Monte Carlo estimate of stochastic differential equations expectations
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Unnamed Item
This page was built for publication: Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations