A new approach to unbiased estimation for SDE's

Chang-Han Rhee*, Peter W. Glynn

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

33 Scopus citations

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.

Original languageEnglish (US)
Title of host publicationProceedings of the 2012 Winter Simulation Conference, WSC 2012
DOIs
StatePublished - 2012
Event2012 Winter Simulation Conference, WSC 2012 - Berlin, Germany
Duration: Dec 9 2012Dec 12 2012

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Other

Other2012 Winter Simulation Conference, WSC 2012
Country/TerritoryGermany
CityBerlin
Period12/9/1212/12/12

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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