Central limit theorem for the antithetic multilevel Monte Carlo method

DOI10.1214/21-AAP1726zbMATH Open1496.60018arXiv2002.08834WikidataQ113752019 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)

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.

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

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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)

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Cited In (2)

• Multi-index ensemble Kalman filtering
• Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs

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