Variance reduction for discretised diffusions via regression
نویسندگان
چکیده
منابع مشابه
Practical Variance Reduction via Regression for Simulating Diffusions
The well-known variance reduction methods—the method of importance sampling and the method of control variates—can be exploited if an approximation of the required solution is known. Here we employ conditional probabilistic representations of solutions together with the regression method to obtain sufficiently inexpensive (although rather rough) estimates of the solution and its derivatives by ...
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We present a Monte Carlo integration method, antithetic Markov chain sampling (AMCS), that incorporates local Markov transitions in an underlying importance sampler. Like sequential Monte Carlo sampling, the proposed method uses a sequence of Markov transitions to guide the sampling toward influential regions of the integrand (modes). However, AMCS differs in the type of transitions that may be...
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ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 2018
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2017.09.002