Issue |
ESAIM: ProcS
Volume 59, 2017
Thematic Cycle on Monte-Carlo techniques
|
|
---|---|---|
Page(s) | 15 - 42 | |
DOI | https://doi.org/10.1051/proc/201759015 | |
Published online | 08 November 2017 |
Truncated control variates for weak approximation schemes*
1 University of Duisburg-Essen, Essen, Germany and IITP RAS, Moscow, Russia
2 PricewaterhouseCoopers GmbH, Frankfurt, Germany
3 University of Duisburg-Essen, Essen, Germany
In this paper we present an enhancement of the regression-based variance reduction approaches recently proposed in Belomestny et al. [1] and [4]. This enhancement is based on a truncation of the control variate and allows for a significant reduction of the computing time, while the complexity stays of the same order. The performances of the proposed truncated algorithms are illustrated by a numerical example.
© EDP Sciences, SMAI 2017
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