Stratified regression-based variance reduction approach for weak approximation schemes

DOI10.1016/J.MATCOM.2017.05.003MaRDI QIDQ1996942zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 1 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.05255

zbMATH Keywords

control variatesMonte Carlo methodsregressionstratificationweak schemes

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05)

Abstract: In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. This modification is based on the stratification technique and allows for a further significant variance reduction. The performance of the proposed approach is illustrated by several numerical examples.

Recommendations

• Regression-based variance reduction approach for strong approximation schemes
• Truncated control variates for weak approximation schemes
• Practical variance reduction via regression for simulating diffusions
• Variance reduction for discretised diffusions via regression
• Adaptive variance reduction techniques in finance

Cites work

• A distribution-free theory of nonparametric regression
• A variance reduction technique based on integral representations
• Discrete chaotic calculus and covariance identities
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Practical variance reduction via regression for simulating diffusions
• Variance Reduction for Simulated Diffusions

Cited in

(2)

• Regression-based variance reduction approach for strong approximation schemes
• Truncated control variates for weak approximation schemes

This page was built for publication: Stratified regression-based variance reduction approach for weak approximation schemes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1996942)