Variance reduction for simulated diffusions using control variates extracted from state space evaluations (Q1861991)
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scientific article; zbMATH DE number 1879036
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance reduction for simulated diffusions using control variates extracted from state space evaluations |
scientific article; zbMATH DE number 1879036 |
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Variance reduction for simulated diffusions using control variates extracted from state space evaluations (English)
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10 March 2003
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diffusion processes
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Monte Carlo simulation
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variance reduction
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numerical examples
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Ito stochastic differential equation
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boundary value problem
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algorithm
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