Limit theorems for weighted and regular multilevel estimators

DOI10.1515/MCMA-2017-0102zbMath1360.65025arXiv1611.05275OpenAlexW3100311742MaRDI QIDQ515540

Daphné Giorgi, Gilles Pagès, Vincent Lemaire

Publication date: 16 March 2017

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.05275

zbMATH Keywords

diffusionlaw of large numberscentral limit theoremRichardson-Romberg extrapolationEuler schememultilevel Monte Carlo methodsnested Monte Carlo

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Strong limit theorems (60F15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Central limit theorem for the antithetic multilevel Monte Carlo method ⋮ Weak error for nested multilevel Monte Carlo ⋮ Central limit theorems for multilevel Monte Carlo methods ⋮ Multilevel Nested Simulation for Efficient Risk Estimation

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