Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Functional quantization-based stratified sampling methods   In this article, we propose several quantization-based stratified sampling
methods to reduce the variance of a Monte Carlo simulation. Theoretical aspects
of stratification lead to a strong link between optimal quadratic quantization
and the variance reduction that can be achieved with stratified sampling. We
first put the emphasis on the consistency of quantization for partitioning the
state space in stratified sampling methods in both finite and infinite
dimensional cases. We show that the proposed quantization-based strata design
has uniform efficiency among the class of Lipschitz continuous functionals.
Then a stratified sampling algorithm based on product functional quantization
is proposed for path-dependent functionals of multi-factor diffusions. The
method is also available for other Gaussian processes such as Brownian bridge
or Ornstein-Uhlenbeck processes. We derive in detail the case of
Ornstein-Uhlenbeck processes. We also study the balance between the algorithmic
complexity of the simulation and the variance reduction factor

28
The categories of this paper are: alg-geom
1
The categories of this paper are: cs
24
The categories of this paper are: dg-ga
21
The categories of this paper are: adap-org
6
The categories of this paper are: astro-ph
22
The categories of this paper are: chao-dyn
31
The categories of this paper are: ao-sci
18
The categories of this paper are: econ
23
The categories of this paper are: solv-int
27
The categories of this paper are: comp-gas
33
The categories of this paper are: plasm-ph
34
The categories of this paper are: chem-ph
3
The categories of this paper are: physics
14
The categories of this paper are: math-ph
8
The categories of this paper are: hep-ex
32
The categories of this paper are: atom-ph