Truncated control variates for weak approximation schemes*
In this paper we present an enhancement of the regression-based variance reduction approaches recently proposed in Belomestny et al. [1] and [4]. 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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://doi.org/10.1051/proc/201759015 |