| Title | A variance reduction technique using a quantized Brownian motion as a control variate |
| Publication Type | Journal Article |
| Year of Publication | 2010 |
| Authors | Antoine Lejay, and Victor Reutenauer |
| Keywords | Variance reduction |
| 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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