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Functional quantization-based stratified sampling
Functional quantization-based stratified sampling is a method for variance reduction proposed by Corlay and Pagès (2015). This method requires the ability to both create functional quantizers and to sample Brownian paths from the strata defined by the quantizers. We show that product quantizers are...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2018
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