Truncated control variates for weak approximation schemes
Probability
2017-11-10 v2
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.
Cite
@article{arxiv.1701.00273,
title = {Truncated control variates for weak approximation schemes},
author = {Denis Belomestny and Stefan Häfner and Mikhail Urusov},
journal= {arXiv preprint arXiv:1701.00273},
year = {2017}
}
Comments
arXiv admin note: text overlap with arXiv:1510.03141