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Neural variance reduction for stochastic differential equations

Author
P. D. Hinds, M. V. Tretyakov
Date Updated
2022/09/26
Category
math.NA
Date Published
2022/09/26
Date Retrieved
2022/09/27
Description
Variance reduction techniques are of crucial importance for the efficiency of Monte Carlo simulations in finance applications. We propose the use of neural SDEs, with control variates parameterized by neural networks, in order to learn approximately optimal control variates and hence reduce variance as trajectories of the SDEs are being simulated. We consider SDEs driven by Brownian motion and, more generally, by L\'{e}vy processes including those with infinite activity. For the latter case, we prove optimality conditions for the variance reduction. Several numerical examples from option pricing are presented.
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URL
https://arxiv.org/abs/2209.12885
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