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Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples

 

作者: Wolfgang Wagner,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1988）
卷期: Volume 6, issue 4  

页码: 447-468

 

ISSN:0736-2994

 

年代: 1988

 

DOI:10.1080/07362998808809161

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

Variance–reducing estimators are derived for functionals of the solution of the general Ito stochastic differential equation. These estimators allow to apply variance reduction techniques known from the Monte Carlo theory. In particular, variance–reducing Euler estimators are constructed as well as variance–reducing unbiased estimators.

 

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