Unbiased simulation of stochastic differential equations
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Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: We propose an unbiased Monte-Carlo estimator for , where is a diffusion process defined by a multi-dimensional stochastic differential equation (SDE). The main idea is to start instead from a well-chosen simulatable SDE whose coefficients are updated at independent exponential times. Such a simulatable process can be viewed as a regime-switching SDE, or as a branching diffusion process with one single living particle at all times. In order to compensate for the change of the coefficients of the SDE, our main representation result relies on the automatic differentiation technique induced by Bismu-Elworthy-Li formula from Malliavin calculus, as exploited by Fourni'e et al.(1999) for the simulation of the Greeks in financial applications. In particular, this algorithm can be considered as a variation of the (infinite variance) estimator obtained in Bally and Kohatsu-Higa [Section 6.1](2014) as an application of the parametrix method.
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Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
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Cited in
(15)- An unbiased Itô type stochastic representation for transport PDEs: a toy example
- Integration by parts formula for killed processes: a point of view from approximation theory
- Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation
- A Stochastic Interpretation of the Parametrix Method
- Unbiased simulation of stochastic differential equations using parametrix expansions
- Probability density function of SDEs with unbounded and path-dependent drift coefficient
- Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
- Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels
- Exact simulation for multivariate Itô diffusions
- Unbiased estimation with square root convergence for SDE models
- Efficient estimation and filtering for multivariate jump-diffusions
- Probabilistic representation of integration by parts formulae for some stochastic volatility models with unbounded drift
- Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection
- Unbiased Monte Carlo estimate of stochastic differential equations expectations
- A generic construction for high order approximation schemes of semigroups using random grids
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