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Sequential control variates for functionals of Markov processes

Emmanuel Gobet 1, 2 Sylvain Maire 3, 4 
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : Using a sequential control variates algorithm, we compute Monte Carlo approximations of solutions of linear partial differential equations connected to linear Markov processes by the Feynman--Kac formula. It includes diffusion processes with or without absorbing/reflecting boundary and jump processes. We prove that the bias and the variance decrease geometrically with the number of steps of our algorithm. Numerical examples show the efficiency of the method on elliptic and parabolic problems.
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Emmanuel Gobet, Sylvain Maire. Sequential control variates for functionals of Markov processes. SIAM Journal on Numerical Analysis, Society for Industrial and Applied Mathematics, 2006, 43 (3), pp.1256-1275. ⟨10.1137/040609124⟩. ⟨hal-01479838⟩



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