Computing Expectations for General SDE with Pure Monte Carlo Methods

RR-FIME-16-01

Mahamadou Doumbia, Nadia Oudjane, Xavier Warin

We develop a pure Monte Carlo method to compute E(g(XT )) where g is a bounded and Lipschitz function and Xt an Ito process. This approach extends the method proposed in [7] to the general multidimensional case with a SDE with varying coefficients. A variance reduction method relying on interacting particle systems is also developped.