扩散路径积分的无偏模拟估计

2020 Winter Simulation Conference (WSC) Pub Date : 2020-12-14 DOI:10.1109/WSC48552.2020.9383881

Guanting Chen, Alexander D. Shkolnik, K. Giesecke

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引用次数: 0

摘要

我们开发并分析了具有一般状态相关漂移和波动的多元扩散的路径积分的蒙特卡罗模拟估计。通过推广参数法的正则性条件，证明了我们的估计量是无偏和有限方差的。数值例子说明了我们的估计器的性能，突出了我们的估计器所适用的一些应用问题。

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Unbiased Simulation Estimators for Path Integrals of Diffusions

We develop and analyze Monte Carlo simulation estimators for path integrals of a multivariate diffusion with a general state-dependent drift and volatility. We prove that our estimators are unbiased and have finite variance by extending the regularity conditions of the parametrix method. The performance of our estimators is illustrated on numerical examples that highlight some applied problems for which our estimators apply.

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2020 Winter Simulation Conference (WSC)

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