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arXiv · 1612.05255

Stratified regression-based variance reduction approach for weak approximation schemes

Denis Belomestny·Stefan Häfner·Mikhail Urusov
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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.

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Denis Belomestny, Stefan Häfner, Mikhail Urusov. 2016-12-16. Stratified regression-based variance reduction approach for weak approximation schemes. https://doi.org/10.1016/j.matcom.2017.05.003

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