An Efficient Control Variate Method for Parametrized Expectations

DOI10.1007/978-3-642-15337-2_9OpenAlexW2218671308MaRDI QIDQ2998517FDOQ2998517

Authors: Sebastien Boyabal 

Publication date: 18 May 2011

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15337-2_9

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Reduced basis techniques for stochastic problems
• Adaptive variance reduction techniques in finance
• A variance reduction method for parametrized stochastic differential equations using the reduced basis paradigm

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