Stochastic differential equations (3rd ed.): an introduction with applications
Stochastic differential equations (3rd ed.): an introduction with applications
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We present a simple algorithm for Monte Carlo simulation of killed diffusions with a single barrier. The algorithm returns an unbiased, Rao-Blackwellized Monte Carlo estimator for a certain class diffusion processes. Notably, the explicit knowledge of the transition laws of the process is not a prerequisite for our unbiased Monte Carlo method. The numerical test demonstrates that the proposed estimator performs very favorably in comparison to competitors based on discretization schemes.