Variance Reduction for SDEs

Denis Belomestny () and John Schoenmakers
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Denis Belomestny: Universität Duisburg-Essen
John Schoenmakers: The Weierstrass Institute

Chapter Chapter 3 in Advanced Simulation-Based Methods for Optimal Stopping and Control, 2018, pp 33-53 from Palgrave Macmillan

Abstract: Abstract Variance reduction technique plays a crucial role in Monte Carlo methods, as they can significantly reduce the uncertainty inherited in Monte Carlo. While in the previous chapter we already have seen some basic variance reduction methods, here we present more advanced approaches.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-03351-2_3

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DOI: 10.1057/978-1-137-03351-2_3

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