A variance reduction technique using a quantized Brownian motion as a control variate

Antoine Lejay 1, 2 Victor Reutenauer 3
2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : 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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Antoine Lejay, Victor Reutenauer. A variance reduction technique using a quantized Brownian motion as a control variate. The Journal of Computational Finance, Incisive Media, 2012, 16 (2), pp.61-84. ⟨inria-00393749v3⟩

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