Abstract
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.
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© 1992 Springer-Verlag Berlin Heidelberg
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Kloeden, P.E., Platen, E. (1992). Variance Reduction Methods. In: Numerical Solution of Stochastic Differential Equations. Applications of Mathematics, vol 23. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-12616-5_16
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DOI: https://doi.org/10.1007/978-3-662-12616-5_16
Publisher Name: Springer, Berlin, Heidelberg
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