Unbiased Estimators and Multilevel Monte Carlo

DOI10.1287/opre.2017.1670zbMath1457.62173arXiv1512.01022OpenAlexW2963292708WikidataQ109746503 ScholiaQ109746503MaRDI QIDQ4969336

Matti Vihola

Publication date: 5 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.01022

zbMATH Keywords

stratificationstochastic differential equationefficiencymultilevel Monte Carlounbiased estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (22)

Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models ⋮ Unbiased filtering of a class of partially observed diffusions ⋮ Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Unbiased MLMC-based Variational Bayes for Likelihood-Free Inference ⋮ Optimal unbiased estimation for expected cumulative discounted cost ⋮ (Non)-penalized multilevel methods for non-uniformly log-concave distributions ⋮ Unbiased Estimation Using Underdamped Langevin Dynamics ⋮ Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations ⋮ On Unbiased Estimation for Discretized Models ⋮ A randomized multi-index sequential Monte Carlo method ⋮ Unbiased optimal stopping via the MUSE ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ A CLT for infinitely stratified estimators, with applications to debiased MLMC ⋮ Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies ⋮ General multilevel Monte Carlo methods for pricing discretely monitored Asian options ⋮ A generic construction for high order approximation schemes of semigroups using random grids ⋮ Unbiased estimation of the gradient of the log-likelihood in inverse problems ⋮ On the optimal design of the randomized unbiased Monte Carlo estimators ⋮ Unbiased estimation of the solution to Zakai's equation ⋮ Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions ⋮ Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization

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