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math.PR2025
A control variate method based on polynomial approximation of Brownian path
Josselin Garnier, Laurent Mertz
We present a novel control variate technique for enhancing the efficiency of Monte Carlo (MC) estimation of expectations involving solutions to stochastic differential equations (S…
math.PR2024
Sensitivity analysis of colored noise-driven interacting particle systems
Josselin Garnier, Harry L. F. Ip, Laurent Mertz
We propose an efficient sensitivity analysis method for a wide class of colored noise-driven interacting particle systems (IPS). Our method is based on unperturbed simulations and…