Monte Carlo variance reduction techniques have become indispensable in radiation transport simulations, where the challenge of obtaining statistically significant results in deep-penetration problems ...

This paper introduces 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 ...

In this article we present a variance-reduction technique for Monte Carlo methods. By an elementary version of the Girsanov theorem, we introduce a drift term into the computation of a security's ...