Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5127989 | Mathematics and Computers in Simulation | 2018 | 13 Pages |
Abstract
In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. [1]. This modification is based on the stratification technique and allows for a further significant variance reduction. The performance of the proposed approach is illustrated by several numerical examples.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
D. Belomestny, S. Häfner, M. Urusov,