Unbiased simulation of stochastic differential equations using parametrix expansions

DOI10.3150/16-BEJ803MaRDI QIDQ527478zbMATH OpenOpenAlexFDO

Authors Patrik Andersson, Arturo Kohatsu-Higa

Publication date 11 May 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/16-bej803

zbMATH Keywords

importance samplingMonte Carlo methodmultidimensional diffusionparametrix

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05)

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Cited in

(18)

• Unbiased simulation of stochastic differential equations
• A generic construction for high order approximation schemes of semigroups using random grids
• Probability density function of SDEs with unbounded and path-dependent drift coefficient
• Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
• Integration by parts formula for killed processes: a point of view from approximation theory
• Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection
• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• The parametrix method for skew diffusions
• Strong approximation of stochastic processes at random times and application to their exact simulation
• An unbiased Itô type stochastic representation for transport PDEs: a toy example
• Parametrix method for the first hitting time of an elliptic diffusion with irregular coefficients
• Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
• Unbiased Monte Carlo estimate of stochastic differential equations expectations
• Adaptive importance sampling for multilevel Monte Carlo Euler method
• Backward Importance Sampling for Online Estimation of State Space Models
• A Stochastic Interpretation of the Parametrix Method
• Deep Picard iteration for high-dimensional nonlinear PDEs
• Unbiased simulation of Asian options

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