Truncated control variates for weak approximation schemes
| Autor: | Belomestny, Denis, Häfner, Stefan, Urusov, Mikhail |
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| Rok vydání: | 2017 |
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| Druh dokumentu: | Working Paper |
| DOI: | 10.1051/proc/201759015 |
| Popis: | In this paper we present an enhancement of the regression-based variance reduction approaches recently proposed in Belomestny et al. 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. Comment: arXiv admin note: text overlap with arXiv:1510.03141 |
| Databáze: | arXiv |
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