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Regular version of the site

Article

Stratified regression-based variance reduction approach for weak approximation schemes

Mathematics and Computers in Simulation. 2018. Vol. 143. P. 125-137.
Belomestny D., Häfner S., Urusov M.

In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. This modification is based on the stratification technique and allows for a further significant variance reduction. The performance of the proposed approach is illustrated by several numerical examples.