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A control variate method driven by diffusion approximation

來源:復旦大學數學科學學院 | 2019-10-16 | 發布:經管之家

報告題目: A control variate method driven by diffusion approximation報 告 人:Laurent Mertz報告人所在單位:上海紐約大學報告日期:2019-10-21 星期一報告時間:16:00-17:00報告地點:光華東主樓1501報告摘要:

In this paper we examine a control variate estimator for a quantity that can be expressed as the expectation of a functional of a random process, that is itself the solution of a differential equation driven by fast mean-reverting ergodic forces. The control variate is the same functional for the limit diffusion process that approximates the original process when the mean-reversion time goes to zero. To get an efficient control variate estimator, we propose a coupling method to build the original process and the limit diffusion process. We show that the correlation between the two processes indeed goes to one when the mean reversion time goes to zero and we quantify the convergence rate, which makes it possible to characterize the variance reduction of the proposed control variate method. The efficiency of the method is illustrated on a few examples. This is a joint work with Josselin Garnier (CMAP, Ecole Polytechnique, France).



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本年度學院報告總序號:222
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