Variance Reduction Methods

  • Peter E. Kloeden
  • Eckhard Platen
Part of the Applications of Mathematics book series (SMAP, volume 23)


In this chapter we shall describe several methods which allow a reduction in the variance of functionals of weak approximations of Ito diffusions. One method changes the underlying probability measure by means of a Girsanov transformation, another uses general principles of Monte-Carlo integration. Unbiased estimators are also constructed.


Unbiased Estimator Transition Density Stochastic Equation Euler Scheme Optimal Density 
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Copyright information

© Springer-Verlag Berlin Heidelberg 1992

Authors and Affiliations

  • Peter E. Kloeden
    • 1
  • Eckhard Platen
    • 2
  1. 1.Fachbereich MathematikJohann Wolfgang Goethe-UniversitätFrankfurt am MainGermany
  2. 2.School of Mathematical Sciences and School of Finance & EconomicsUniversity of Technology, SydneyBroadwayAustralia

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