A variance reduction technique using a quantized Brownian motion as a control variate

TitleA variance reduction technique using a quantized Brownian motion as a control variate
Publication TypeJournal Article
Year of Publication2010
AuthorsAntoine Lejay, and Victor Reutenauer
KeywordsVariance 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.