Central limit theorem for the antithetic multilevel Monte Carlo method

DOI10.1214/21-AAP1726zbMATH Open1496.60018WikidataQ113752019 ScholiaQ113752019MaRDI QIDQ2170368FDOQ2170368

Authors Mohamed Ben Alaya, Ahmed Kebaier, Thi Bao Tram Ngo

Publication date 5 September 2022

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.08834

zbMATH Keywords

Milstein schemefunctional limit theoremsmultilevel Monte Carlo methods

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: In this paper, we introduce the $sigma$-antithetic multilevel Monte Carlo (MLMC) estimator for a multi-dimensional diffusion which is an extended version of the original antithetic MLMC one introduced by Giles and Szpruch cite{a}. Our aim is to study the asymptotic behavior of the weak errors involved in this new algorithm. Among the obtained results, we prove that the error between on the one hand the average of the Milstein scheme without L'evy area and its $sigma$-antithetic version build on the finer grid and on the other hand the coarse approximation stably converges in distribution with a rate of order 1. We also prove that the error between the Milstein scheme without L'evy area and its $sigma$-antithetic version stably converges in distribution with a rate of order $1/2$. More precisely, we have a functional limit theorem on the asymptotic behavior of the joined distribution of these errors based on a triangular array approach (see e.g. Jacod cite{c}). Thanks to this result, we establish a central limit theorem of Lindeberg-Feller type for the $sigma$-antithetic MLMC estimator. The time complexity of the algorithm is carried out.

Recommendations

• Central limit theorem for the multilevel Monte Carlo Euler method
• On the acceleration of the multi-level Monte Carlo method
• Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs

Cites work

• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1047469 (Why is no real title available?)
• scientific article; zbMATH DE number 2000348 (Why is no real title available?)
• scientific article; zbMATH DE number 3400258 (Why is no real title available?)
• Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Central limit theorem for the multilevel Monte Carlo Euler method
• Central limit theorems for multilevel Monte Carlo methods
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Coupling importance sampling and multilevel Monte Carlo using sample average approximation
• Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
• Importance sampling and statistical Romberg method
• Importance sampling and statistical Romberg method for Lévy processes
• Limit theorems for weighted and regular multilevel estimators
• Multilevel Monte Carlo Path Simulation
• Multilevel Monte Carlo for Asian options and limit theorems
• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Multilevel Monte Carlo methods for applications in finance
• Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
• On the acceleration of the multi-level Monte Carlo method
• Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
• Stochastic order characterization of uniform integrability and tightness
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Weak antithetic MLMC estimation of SDEs with the milstein scheme for low-dimensional Wiener processes

Cited in

(7)

• Multi-index ensemble Kalman filtering
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Central limit theorem for the multilevel Monte Carlo Euler method
• Antithetic multilevel sampling method for nonlinear functionals of measure
• An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs
• Central limit theorems for multilevel Monte Carlo methods
• Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs

This page was built for publication: Central limit theorem for the antithetic multilevel Monte Carlo method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2170368)