A multilevel approach to control variates
DOI10.21314/JCF.2009.201zbMATH Open1184.91202OpenAlexW3121345254MaRDI QIDQ3404355FDOQ3404355
Authors: Adam L. Speight 
Publication date: 8 February 2010
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21314/jcf.2009.201
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- Adaptive variance reduction techniques in finance
- Multilevel hybrid Chernoff tau-leap
- Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
- An efficient control variate method for pricing variance derivatives
- Multifidelity approaches for optimization under uncertainty
- A splitting scheme for control variates
- A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
- \(t\)-Copula generation for control variates
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- Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
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- A Multilevel Adaptive Reaction-splitting Simulation Method for Stochastic Reaction Networks
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- Variance derivatives pricing and control variate Monte Carlo method
- Multivariate Batch Means and Control Variates
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