Preliminary control variates to improve empirical regression methods

DOI10.1515/MCMA-2013-0015MaRDI QIDQ5747002zbMATH OpenOpenAlexFDO

Authors Tarik Ben Zineb, Emmanuel Gobet

Publication date 11 February 2014

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2013-0015

zbMATH Keywords

distribution-free theoryempirical regressionvariance reduction

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05)

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Cited in

(8)

• A variance reducing multiplier for Monte Carlo integrations
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
• Variance reduction for additive functionals of Markov chains via martingale representations
• ``Regression anytime with brute-force SVD truncation
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
• Analytical approximation of variable annuities for small volatility and small withdrawal
• Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
• Control variate method for stationary processes

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