Unbiased simulation methods based on the parametrix II

Date/heure
19 avril 2018
10:45 - 11:45

Oratrice ou orateur
Arturo Kohatsu-Higa

Catégorie d'évènement
Séminaire Probabilités et Statistique


Résumé

In these two presentations, we will first introduce using basic stochastic calculus, the parametrx method and then show how to deduce an unbiased simulation method and its interpretations.

We will discuss its advantages and shortcomings and then discuss how to solve them.
using a second
order method.
We will also give some simulation results and then time allowing we will discuss some other extensions.