Neural variance reduction for stochastic differential equations
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Publication:6508058
DOI10.21314/JCF.2023.010arXiv2209.12885MaRDI QIDQ6508058FDOQ6508058
Authors: P. D. Hinds, M. V. Tretyakov 
Abstract: Variance reduction techniques are of crucial importance for the efficiency of Monte Carlo simulations in finance applications. We propose the use of neural SDEs, with control variates parameterized by neural networks, in order to learn approximately optimal control variates and hence reduce variance as trajectories of the SDEs are being simulated. We consider SDEs driven by Brownian motion and, more generally, by L'{e}vy processes including those with infinite activity. For the latter case, we prove optimality conditions for the variance reduction. Several numerical examples from option pricing are presented.
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