Abstract:This paper proposes a new pathwise sensitivity estimator for chaotic SDEs. By introducing a spring term between the original and perturbated SDEs, we derive a new estimator by importance sampling. The variance of the new estimator increases only linearly in time T, compared with the exponential increase of the standard pathwise estimator. We compare our estimator with the Malliavin estimator and extend both of them to the Multilevel Monte Carlo method, which further improves the computational efficiency. Final… Show more
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