待ち行列研究部会特別セミナー (5月22日) の開催案内

待ち行列研究部会特別セミナー

日時：2026年5月22日（金）15:00–17:00
　　　（会場利用 14:00–17:00）

会場：東京科学大学 大岡山キャンパス 西8号館（W棟）W811号室
※参加を希望される方は直接会場へお越しください。

講演者：Bara Kim 氏（Korea University）

講演題目：
Unbiased Simulation Methods for Stochastic Differential Equations

講演概要：
This presentation discusses unbiased Monte Carlo simulation methods for quantities associated with sample paths of stochastic differential equations. The proposed approach is based on a change of probability measures using carefully constructed Radon–Nikodym derivative processes to obtain unbiased estimators.

A particular focus is placed on situations where the Girsanov kernel is unbounded, for which standard simulation techniques may become difficult to apply. I present a simulation method that remains valid in such settings and discuss the underlying probabilistic ideas behind the construction.

The presentation also includes examples involving path-dependent functionals under diffusion models to illustrate the practical implementation of the method. The techniques discussed in this talk are potentially applicable to a broad range of stochastic simulation problems arising in applied probability, queueing systems, financial engineering, and related areas.