TY - GEN
T1 - A new approach to unbiased estimation for SDE's
AU - Rhee, Chang-Han
AU - Glynn, Peter W.
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84874671957&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84874671957&partnerID=8YFLogxK
U2 - 10.1109/WSC.2012.6465150
DO - 10.1109/WSC.2012.6465150
M3 - Conference contribution
AN - SCOPUS:84874671957
SN - 9781467347792
T3 - Proceedings - Winter Simulation Conference
BT - Proceedings of the 2012 Winter Simulation Conference, WSC 2012
T2 - 2012 Winter Simulation Conference, WSC 2012
Y2 - 9 December 2012 through 12 December 2012
ER -