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arXiv · 1603.04196

Unbiased local solutions of partial differential equations via the Feynman-Kac Identities

Jake Carson·Murray Pollock·Mark Girolami
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Abstract

The Feynman-Kac formulae (FKF) express local solutions of partial differential equations (PDEs) as expectations with respect to some complementary stochastic differential equation (SDE). Repeatedly sampling paths from the complementary SDE enables the construction of Monte Carlo estimates of local solutions, which are more naturally suited to statistical inference than the numerical approximations obtained via finite difference and finite element methods. Until recently, simulating from the complementary SDE would have required the use of a discrete-time approximation, leading to biased estimates. In this paper we utilize recent developments in two areas to demonstrate that it is now possible to obtain unbiased solutions for a wide range of PDE models via the FKF. The first is the development of algorithms that simulate diffusion paths exactly (without discretization error), and so make it possible to obtain Monte Carlo estimates of the FKF directly. The second is the development of debiasing methods for SDEs, enabling the construction of unbiased estimates from a sequence of biased estimates.

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Jake Carson, Murray Pollock, Mark Girolami. 2016-03-14. Unbiased local solutions of partial differential equations via the Feynman-Kac Identities. https://arxiv.org/abs/1603.04196

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