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Unbiased Monte Carlo estimate of stochastic differential equations expectations
Mahamadou Doumbia, Nadia Oudjane, Xavier Warin · 2016-01-13 · via math.PR updates on arXiv.org

We develop a pure Monte Carlo method to compute $E(g(X_T))$ where $g$ is a bounded and Lipschitz function and $X_t$ an Ito process. This approach extends a previously proposed method to the general multidimensional case with a SDE with varying coefficients. A variance reduction method relying on interacting particle systems is also developped.

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