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| HAL : inria-00393749, version 3 |
| Voir la fiche détaillée |  BibTeX,EndNote,... |
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| Versions disponibles | v1 (09-06-2009) | v2 (19-04-2010) | v3 (08-11-2010) |
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| A variance reduction technique using a quantized Brownian motion as a control variate |
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| Antoine Lejay 1, 2Victor Reutenauer 3 |
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| (2008) |
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| This article presents a new variance reduction technique for diffusion processes where a control variate is constructed using a quantization of the coefficients of the Karhunen-Loève decomposition of the underlying Brownian motion. This method may be indeed used for other Gaussian processes. |
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| 1 : | Institut Elie Cartan Nancy (IECN) |
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CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine |
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| 2 : | TOSCA (INRIA Sophia Antipolis / INRIA Lorraine / IECN) |
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INRIA – CNRS : UMR7502 – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine |
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| 3 : | Service Interest Rates and Hybrid Quantitative Research (FIM) |
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Calyon |
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| Probabilités et statistique |
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| Domaine | : | Mathématiques/Probabilités |
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| Monte Carlo simulation for diffusion processes – Variance reduction – Control variate – Karhunen-Loève decomposition – Least squares method |
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| Liste des fichiers attachés à ce document : | |||||
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| inria-00393749, version 3 | |
| http://hal.inria.fr/inria-00393749 | |
| oai:hal.inria.fr:inria-00393749 | |
| Contributeur : Antoine Lejay | |
| Soumis le : Lundi 8 Novembre 2010, 18:27:04 | |
| Dernière modification le : Lundi 8 Novembre 2010, 20:58:24 | |
