Truncated control variates for weak approximation schemes

Denis Belomestny; Stefan Häfner; Mikhail Urusov

doi:10.1051/proc/201759015

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arXiv · 1701.00273

Truncated control variates for weak approximation schemes

Denis Belomestny·Stefan Häfner·Mikhail Urusov

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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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Denis Belomestny, Stefan Häfner, Mikhail Urusov. 2017-01-01. Truncated control variates for weak approximation schemes. https://doi.org/10.1051/proc/201759015

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