Practical Variance Reduction via Regression for Simulating Diffusions

DOI10.1137/060674661zbMath1190.65011OpenAlexW1996322574MaRDI QIDQ3559131

M. V. Tretyakov, Grigori N. Milstein

Publication date: 11 May 2010

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/126cc9629abff3ddab698e078c0a5ee6769d8c73

zbMATH Keywords

importance samplingnumerical experimentsregressionMonte Carlo techniquevariance reduction methodsprobabilistic representations of solutions of partial differential equationsnumerical integration of stochastic differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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