A new approach to unbiased estimation for SDE's

Chang-han Rhee; Peter W. Glynn

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arXiv · 1207.2452

A new approach to unbiased estimation for SDE's

Chang-han Rhee·Peter W. Glynn

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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.

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Chang-han Rhee, Peter W. Glynn. 2012-07-10. A new approach to unbiased estimation for SDE's. https://arxiv.org/abs/1207.2452

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