English

Variance reduction for discretised diffusions via regression

Probability 2017-09-19 v4

Abstract

In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the terminal functionals. In this way the complexity order of the standard Monte Carlo algorithm (ε3\varepsilon^{-3} in the case of a first order scheme and ε2.5\varepsilon^{-2.5} in the case of a second order scheme) can be reduced down to ε2+δ\varepsilon^{-2+\delta} for any δ[0,0.25)\delta\in [0,0.25) with ε\varepsilon being the precision to be achieved. These theoretical results are illustrated by several numerical examples.

Keywords

Cite

@article{arxiv.1510.03141,
  title  = {Variance reduction for discretised diffusions via regression},
  author = {Denis Belomestny and Stefan Häfner and Tigran Nagapetyan and Mikhail Urusov},
  journal= {arXiv preprint arXiv:1510.03141},
  year   = {2017}
}
R2 v1 2026-06-22T11:17:47.905Z