Truncated control variates for weak approximation schemes

DOI10.1051/PROC/201759015MaRDI QIDQ4606417zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Stefan Häfner, Mikhail Urusov

Publication date 7 March 2018

Published in ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1701.00273

zbMATH Keywords

algorithmscomplexitynumerical exampleregression-based variance reduction

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Complexity and performance of numerical algorithms (65Y20)

Abstract: In this paper we present an enhancement of the regression-based variance reduction approaches recently proposed in Belomestny et al. This enhancement is based on a truncation of the control variate and allows for a significant reduction of the computing time, while the complexity stays of the same order. The performances of the proposed truncated algorithms are illustrated by a numerical example.

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Cites work

• A distribution-free theory of nonparametric regression
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• On the complexity of computing quadrature formulas for marginal distributions of SDEs
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• Regression-based variance reduction approach for strong approximation schemes
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Cited in

(3)

• A splitting scheme for control variates
• Stratified regression-based variance reduction approach for weak approximation schemes
• A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion

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