Variance reduction for simulated diffusions using control variates extracted from state space evaluations

DOI10.1016/S0168-9274(01)00178-7zbMath1012.65005MaRDI QIDQ1861991

Fredrik A. Dahl

Publication date: 10 March 2003

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

algorithmnumerical examplesMonte Carlo simulationboundary value problemdiffusion processesvariance reductionIto stochastic differential equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Monte Carlo simulation for solving Fredholm integral equations ⋮ The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling

Cites Work

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• Variance Reduction Techniques for Digital Simulation
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• Variance Reduction for Simulated Diffusions
• Variance reduction for Markov chain processes using state space evaluation for control variates
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Stochastic differential equations. An introduction with applications.

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