An Efficient Control Variate Method for Parametrized Expectations

DOI10.1007/978-3-642-15337-2_9MaRDI QIDQ2998517zbMATH OpenOpenAlexFDO

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

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

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