Unbiased Monte Carlo estimate of stochastic differential equations expectations

Abstract

We develop a pure Monte Carlo method to compute $E(g(X_T))$ where $g$ is a bounded and Lipschitz function and $X_t$ an Ito process. This approach extends a previously proposed method to the general multidimensional case with a SDE with varying coefficients. A variance reduction method relying on interacting particle systems is also developped.

arXiv comment32 pages, 14 figures