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Variance Reduction Methods

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

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.

Keywords

Unbiased Estimator Transition Density Stochastic Equation Euler Scheme Optimal Density 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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