1 janvier 2016
Mahamadou Doumbia, Nadia Oudjane, Xavier Warin
We develop a pure Monte Carlo method to compute E(g(XT )) where g is a bounded and Lipschitz function and Xt an Ito process. This approach extends the method proposed in  to the general multidimensional case with a SDE with varying coefficients. A variance reduction method relying on interacting particle systems is also developped.