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A new approach to unbiased estimation for SDE's

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  • Chang-han Rhee
  • Peter W. Glynn

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. "A new approach to unbiased estimation for SDE's," Papers 1207.2452, arXiv.org.
    • Handle: RePEc:arx:papers:1207.2452
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    References listed on IDEAS

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    1. Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
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    Cited by:

    1. Chang-Han Rhee & Peter W. Glynn, 2015. "Unbiased Estimation with Square Root Convergence for SDE Models," Operations Research, INFORMS, vol. 63(5), pages 1026-1043, October.

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