Variance Reduction for Simulated Diffusions
From MaRDI portal
Publication:4320758
DOI10.1137/S0036139992236220zbMath0811.60046MaRDI QIDQ4320758
Publication date: 2 May 1995
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
numerical methodsstochastic differential equationsinitial value problemsItô stochastic differential equationsMonte-Carlo methodsFunke-Shevlyakov-Haussmann integral representation theorem
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Related Items
The Euler scheme with irregular coefficients, Adaptive importance sampling for control and inference, Importance Sampling for Backward SDEs, The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function, Reduced basis techniques for stochastic problems, Interpolation and approximation in \(L_{2}(\gamma )\), Some Numerical Methods for Rare Events Simulation and Analysis, Options Pricing for Several Maturities in a Jump-Diffusion Model, Variance reduction for discretised diffusions via regression, Unbiased Deep Solvers for Linear Parametric PDEs, Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics, A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations, Importance sampling for McKean-Vlasov SDEs, Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization, Truncated control variates for weak approximation schemes, Estimation of failure probabilities of linear dynamic systems by importance sampling, Variance reduction for Monte Carlo simulation in a stochastic volatility environment, A variance reduction technique based on integral representations, Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations, Stratified regression-based variance reduction approach for weak approximation schemes, Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions, Solving parabolic stochastic partial differential equations via averaging over characteristics, Simulation of diffusions by means of importance sampling paradigm, Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models, A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS, A regression-based Monte Carlo method to solve backward stochastic differential equations, Fast strong approximation Monte Carlo schemes for stochastic volatility models, Variance reduction for simulated diffusions using control variates extracted from state space evaluations, Monte Carlo construction of hedging strategies against multi-asset European claims
