We develop and analyze Monte Carlo simulation estimators for path integrals of a multivariate diffusion with a general state-dependent drift and volatility.
May 13, 2021 · We develop and analyze Monte Carlo simulation estimators for path integrals of a multivariate diffusion with a general state-dependent drift ...
We develop and analyze Monte Carlo simulation estimators for path integrals of a multivariate diffusion with a general state-dependent drift and volatility. We ...
May 18, 2020 · We develop and analyze an unbiased Monte Carlo estimator for a functional of a one-dimensional jump-diffusion process with a state-dependent ...
The exact Algorithm is a Rejection Sampler based on proposing paths from a drift- less version of the diffusion (with same volatility). The acceptance ...
Missing: Integrals | Show results with:Integrals
Nov 4, 2021 · We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, ...
Oct 22, 2024 · We focus on simulation associated to a particular class of diffusion processes, sometimes termed the Schrödinger-Föllmer Sampler, which is a ...
Proceedings of the Winter Simulation Conference (WSC) 2020 [Link]; Unbiased Simulation Estimators for Path Integrals of Diffusions Guanting Chen, Alex ...
Simulation studies suggest that the proposed estimator significantly outperforms its competitors in terms of integrated root‐squared estimation error. We ...
Unbiased Simulation Estimators for Path Integrals of Diffusions (with G. Chen, A. Shkolnik) Proceedings of the 2020 Winter Simulation Conference, IEEE Press, ...