A new approach to unbiased estimation for SDE's

2012/07/10 by Chang-Han Rhee, Chang-han Rhee, Peter W. Glynn +2 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Monetary Policy and Economic Impact #Probability (math.PR) #Statistical Methods and Inference #Stochastic processes and financial applications #math.PR #q-fin.CP

paper · pdf · doi:10.48550/arxiv.1207.2452

arxiv created 2012/07/10 · openalex publication_date 2012/07/10 · arxiv updated 2012/07/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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