Truncated control variates for weak approximation schemes
arXiv:1701.00273 · doi:10.1051/proc/201759015
Abstract
In this paper we present an enhancement of the regression-based variance reduction approaches recently proposed in Belomestny et al. This enhancement is based on a truncation of the control variate and allows for a significant reduction of the computing time, while the complexity stays of the same order. The performances of the proposed truncated algorithms are illustrated by a numerical example.
arXiv admin note: text overlap with arXiv:1510.03141