25 janvier 2017
Mahamadou Doumbia, Nadia Oudjane, Xavier Warin
We propose an unbiased Monte Carlo method to compute E(g(XT )) where g is a Lipschitz function and X an Ito process. This approach extends the method proposed in  to the case where X is solution of a multidimensional stochastic differential equation with varying drift and diffusion coefficients. A variance reduction method relying on interacting particle systems is also developed.
Key words: unbiased estimate, linear parabolic PDEs, interacting particle systems