Practical variance reduction via regression for simulating diffusions
importance samplingMonte Carlo techniquenumerical experimentsnumerical integration of stochastic differential equationsprobabilistic representations of solutions of partial differential equationsregressionvariance reduction methods
PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
- Variance Reduction for Simulated Diffusions
- A control variate method driven by diffusion approximation
- Variance reduction for discretised diffusions via regression
- Variance reduction for simulated diffusions using control variates extracted from state space evaluations
- Regression-based variance reduction approach for strong approximation schemes
- Variance reduction for discretised diffusions via regression
- Regression-based variance reduction approach for strong approximation schemes
- Variance reduction for simulated diffusions using control variates extracted from state space evaluations
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
- Stratified regression-based variance reduction approach for weak approximation schemes
- Correlation-inducing variance reduction in regenerative simulation
- Solving parabolic stochastic partial differential equations via averaging over characteristics
- Monte Carlo methods for backward equations in nonlinear filtering
- Variance Reduction for Simulated Diffusions
- Truncated control variates for weak approximation schemes
- Minimizing the variance of estimate of mathematical expectation of a diffusion process functional by parametric transformation of the parabolic boundary value problem
- Preliminary control variates to improve empirical regression methods
- Sensitivities for Bermudan options by regression methods
- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
- Computing ergodic limits for Langevin equations
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