Geodesic
Truncated control variates for weak approximation schemes
Denis Belomestny1 ; Stefan Häfner 2 ; Mikhail Urusov3
1 University of Duisburg-Essen, Essen, Germany and IITP RAS, Moscow, Russia
2 PricewaterhouseCoopers GmbH, Frankfurt, Germany
3 University of Duisburg-Essen, Essen, Germany
ESAIM. Proceedings, Tome 59 (2017), pp. 15-42 Cet article a éte moissonné depuis la source EDP Sciences

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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 of the same order. The performances of the proposed truncated algorithms are illustrated by a numerical example.
DOI : 10.1051/proc/201759015

Denis Belomestny 1 ; Stefan Häfner  2 ; Mikhail Urusov 3

1 University of Duisburg-Essen, Essen, Germany and IITP RAS, Moscow, Russia
2 PricewaterhouseCoopers GmbH, Frankfurt, Germany
3 University of Duisburg-Essen, Essen, Germany 
@article{EP_2017_59_a2,
     author = {Denis Belomestny and Stefan H\"afner  and Mikhail Urusov},
     title = {Truncated control variates for weak approximation schemes},
     journal = {ESAIM. Proceedings},
     pages = {15--42},
     year = {2017},
     volume = {59},
     doi = {10.1051/proc/201759015},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/proc/201759015/}
}
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Denis Belomestny; Stefan Häfner ; Mikhail Urusov. Truncated control variates for weak approximation schemes. ESAIM. Proceedings, Tome 59 (2017), pp. 15-42. doi: 10.1051/proc/201759015

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