A control variate method based on polynomial approximation of Brownian path
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2025
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866912701638246400 |
|---|---|
| author | Garnier, Josselin Mertz, Laurent |
| author_facet | Garnier, Josselin Mertz, Laurent |
| contents | We present a novel control variate technique for enhancing the efficiency of Monte Carlo (MC) estimation of expectations involving solutions to stochastic differential equations (SDEs). Our method integrates a primary fine-time-step discretization of the SDE with a control variate derived from a secondary coarse-time-step discretization driven by a piecewise parabolic approximation of Brownian motion. This approximation is conditioned on the same fine-scale Brownian increments, enabling strong coupling between the estimators. The expectation of the control variate is computed via an independent MC simulation using the coarse approximation. We characterize the minimized quadratic error decay as a function of the computational budget and the weak and strong orders of the primary and secondary discretization schemes. We demonstrate the method's effectiveness through numerical experiments on representative SDEs. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_08021 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A control variate method based on polynomial approximation of Brownian path Garnier, Josselin Mertz, Laurent Probability Numerical Analysis We present a novel control variate technique for enhancing the efficiency of Monte Carlo (MC) estimation of expectations involving solutions to stochastic differential equations (SDEs). Our method integrates a primary fine-time-step discretization of the SDE with a control variate derived from a secondary coarse-time-step discretization driven by a piecewise parabolic approximation of Brownian motion. This approximation is conditioned on the same fine-scale Brownian increments, enabling strong coupling between the estimators. The expectation of the control variate is computed via an independent MC simulation using the coarse approximation. We characterize the minimized quadratic error decay as a function of the computational budget and the weak and strong orders of the primary and secondary discretization schemes. We demonstrate the method's effectiveness through numerical experiments on representative SDEs. |
| title | A control variate method based on polynomial approximation of Brownian path |
| topic | Probability Numerical Analysis |
| url | https://arxiv.org/abs/2511.08021 |