Abstract
In this article, we consider an unbiased simulation method for multidimensional diffusions based on the parametrix method for solving partial differential equations with Holder continuous coefficients. This Monte Carlo method which is based on an Euler scheme with random time steps, can be considered as an infinite dimensional extension of the Multilevel Monte Carlo method for solutions of stochastic differential equations with Holder continuous coefficients. In particular, we study the properties of the variance of the proposed method. In most cases, the method has infinite variance and therefore we propose an importance sampling method to resolve this issue.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
