A new approach to unbiased estimation for SDE's

Authors:
Chang-han Rhee;Peter W. Glynn
Affiliations:
Stanford University, Stanford, CA;Stanford University, Stanford, CA
Venue:
Proceedings of the Winter Simulation Conference
Year:
2012

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A new approach to unbiased estimation for SDE's

Proceedings of the Winter Simulation Conference

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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.