A new approach to unbiased estimation for SDE's

Chang-han Rhee and Peter W. Glynn

Papers from arXiv.org

Abstract: In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SDEs). Our randomization idea is closely related to multi-level Monte Carlo and provides a simple mechanism for constructing a finite variance unbiased estimator with "square root convergence rate" whenever one has available a scheme that produces strong error of order greater than 1/2 for the path functional under consideration.

Date: 2012-07
New Economics Papers: this item is included in nep-ecm
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