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Stratified regression-based variance reduction approach for weak approximation schemes.
- Source :
-
Mathematics & Computers in Simulation . Jan2018, Vol. 143, p125-137. 13p. - Publication Year :
- 2018
-
Abstract
- In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. [1]. 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03784754
- Volume :
- 143
- Database :
- Academic Search Index
- Journal :
- Mathematics & Computers in Simulation
- Publication Type :
- Periodical
- Accession number :
- 125175964
- Full Text :
- https://doi.org/10.1016/j.matcom.2017.05.003