Stratified regression-based variance reduction approach for weak approximation schemes

Denis Belomestny; Stefan Häfner; Mikhail Urusov

doi:10.1016/j.matcom.2017.05.003

paper

Stratified regression-based variance reduction approach for weak approximation schemes

arXiv:1612.05255 · doi:10.1016/j.matcom.2017.05.003

Abstract

In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. 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.