Stratified regression-based variance reduction approach for weak approximation schemes

Denis Belomestny, Stefan H\"afner and 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.

Date: 2016-12, Revised 2017-03
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