Truncated control variates for weak approximation schemes

DOI10.1051/proc/201759015zbMath1384.65037arXiv1701.00273OpenAlexW3106338306MaRDI QIDQ4606417

Denis Belomestny, Stefan Häfner, Mikhail A. Urusov

Publication date: 7 March 2018

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.00273

zbMATH Keywords

complexityalgorithmsnumerical exampleregression-based variance reduction

Mathematics Subject Classification ID

Cites Work

• On the complexity of computing quadrature formulas for marginal distributions of SDEs
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• A distribution-free theory of nonparametric regression
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• Multilevel Monte Carlo Path Simulation
• Practical Variance Reduction via Regression for Simulating Diffusions
• Variance Reduction for Simulated Diffusions
• Regression-Based Complexity Reduction of the Nested Monte Carlo Methods
• Unnamed Item

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