A New Approach to Unbiased Estimation for SDEs

C. Rhee and P. W. Glynn

Proceedings of the 2012 Winter Simulation Conference (2012) pp.495-503

In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SDEs). Our randomization idea is closely related to multi-level Monte Carlo and provides a simple mechanism for constructing a finite variance unbiased estimator with “square root convergence rate” whenever one has available a scheme that produces strong error of order greater than 1/2 for the path functional under consideration.