A control variate method driven by diffusion approximation

DOI10.1002/CPA.21976zbMATH Open1489.93118arXiv1906.01225OpenAlexW3123143661MaRDI QIDQ5072040FDOQ5072040

Laurent Mertz, Josselin Garnier

Publication date: 25 April 2022

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Abstract: In this paper we examine a control variate estimator for a quantity that can be expressed as the expectation of a functional of a random process, that is itself the solution of a differential equation driven by fast mean-reverting ergodic forces. The control variate is the expectation of the same functional for the limit diffusion process that approximates the original process when the mean-reversion time goes to zero. To get an efficient control variate estimator, we propose a coupling method to build the original process and the limit diffusion process. We show that the correlation between the two processes indeed goes to one when the mean reversion time goes to zero and we quantify the convergence rate, which makes it possible to characterize the variance reduction of the proposed control variate method. The efficiency of the method is illustrated on a few examples.

Full work available at URL: https://arxiv.org/abs/1906.01225

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Mathematics Subject Classification ID

Control/observation systems governed by ordinary differential equations (93C15) Stochastic systems in control theory (general) (93E03)

Cited In (6)

• A Control Variate Approach Based on a Defect-Type Theory for Variance Reduction in Stochastic Homogenization
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• A Piecewise Deterministic Markov Process Approach Modeling a Dry Friction Problem with Noise
• Mobility Estimation for Langevin Dynamics Using Control Variates
• A splitting scheme for control variates
• Diffusion approximation for multi-scale McKean-Vlasov SDEs through different methods

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