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math.PR2017
Truncated control variates for weak approximation schemes
Denis Belomestny, Stefan Häfner, Mikhail Urusov
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 th…
math.PR2016★ 2 cited
Regression-based variance reduction approach for strong approximation schemes
Denis Belomestny, Stefan Häfner, Mikhail Urusov
In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and…