Weak error for nested multilevel Monte Carlo

DOI10.1007/s11009-019-09751-3zbMath1456.65003arXiv1806.07627MaRDI QIDQ2218848

Vincent Lemaire, Gilles Pagès, Daphné Giorgi

Publication date: 18 January 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.07627

zbMATH Keywords

multilevel Monte Carlo method; weak error estimate; nested Monte Carlo method

Mathematics Subject Classification ID

65C05: Monte Carlo methods

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Variance reduction for risk measures with importance sampling in nested simulation, Adaptive Multilevel Monte Carlo for Probabilities, Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests

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