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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…
cond-mat.stat-mech2025
A control variate method for threshold crossing probabilities of plastic deformation driven by transient coloured noise
Harry L. F. Ip, Charlie Mathey, Laurent Mertz +1
We propose a hybrid method combining partial differential equation (PDE) and Monte Carlo (MC) techniques to obtain efficient estimates of statistics for plastic deformation related…