Practical Variance Reduction via Regression for Simulating Diffusions

@article{Milstein2009PracticalVR,
  title={Practical Variance Reduction via Regression for Simulating Diffusions},
  author={G. N. Milstein and Michael V. Tretyakov},
  journal={SIAM J. Numerical Analysis},
  year={2009},
  volume={47},
  pages={887-910}
}
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 using the single auxiliary set of approximate trajectories starting from the initial position. These… CONTINUE READING

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