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We propose an unbiased Monte-Carlo estimator for $\mathbb{E}[g(X_{t_1}, \cdots, X_{t_n})]$, where $X$ is a diffusion process defined by a multi-dimensional stochastic differential equation (SDE).
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Ekren, I., Touzi, N. and Zhang, J. : Viscosity Solutions of Fully Nonlinear Path Dependent PDEs: Part I
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