Analysis of nested multilevel Monte Carlo using approximate normal random variables
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approximationshigh performance computingmultilevel Monte Carlorandom variablesSDEsstochastic simulation
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20)
Abstract: The multilevel Monte Carlo (MLMC) method has been used for a wide variety of stochastic applications. In this paper we consider its use in situations in which input random variables can be replaced by similar approximate random variables which can be computed much more cheaply. A nested MLMC approach is adopted in which a two-level treatment of the approximated random variables is embedded within a standard MLMC application. We analyse the resulting nested MLMC variance in the specific context of an SDE discretisation in which Normal random variables can be replaced by approximately Normal random variables, and provide numerical results to support the analysis.
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