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Preprints, Working Papers, ... Year : 2008

A variance reduction technique using a quantized Brownian motion as a control variate

Abstract

This article presents a new variance reduction technique for diffusion processes where a control variate is constructed using a quantization of the coefficients of the Karhunen-Loève decomposition of the underlying Brownian motion. This method may be indeed used for other Gaussian processes.
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Dates and versions

inria-00393749 , version 1 (09-06-2009)
inria-00393749 , version 2 (18-04-2010)
inria-00393749 , version 3 (08-11-2010)

Identifiers

  • HAL Id : inria-00393749 , version 2

Cite

Antoine Lejay, Victor Reutenauer. A variance reduction technique using a quantized Brownian motion as a control variate. 2008. ⟨inria-00393749v2⟩
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