Central limit theorem for the multilevel Monte Carlo Euler method
From MaRDI portal
Publication:2258530
DOI10.1214/13-AAP993zbMath1320.60073arXiv1501.06365OpenAlexW2158728482MaRDI QIDQ2258530
Mohamed Ben Alaya, Ahmed Kebaier
Publication date: 26 February 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.06365
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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