Central limit theorem for the multilevel Monte Carlo Euler method

DOI10.1214/13-AAP993MaRDI QIDQ2258530zbMATH OpenOpenAlexFDO

Authors 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, https://projecteuclid.org/euclid.aoap/1418740184

zbMATH Keywords

central limit theoremEuler schememultilevel 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: This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [Oper. Res. 56 (2008) 607-617] which is significantly more efficient than the classical Monte Carlo one. Our aim is to prove a central limit theorem of Lindeberg-Feller type for the multilevel Monte Carlo method associated with the Euler discretization scheme. To do so, we prove first a stable law convergence theorem, in the spirit of Jacod and Protter [Ann. Probab. 26 (1998) 267-307], for the Euler scheme error on two consecutive levels of the algorithm. This leads to an accurate description of the optimal choice of parameters and to an explicit characterization of the limiting variance in the central limit theorem of the algorithm. A complexity of the multilevel Monte Carlo algorithm is carried out.

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Cited in

(26)

• Discrete-time simulation of stochastic Volterra equations
• Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
• Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates
• General multilevel adaptations for stochastic approximation algorithms. II: CLTs
• Approximation of Stochastic Volterra Equations with kernels of completely monotone type
• Unbiased estimators and multilevel Monte Carlo
• Multi-level stochastic approximation algorithms
• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Importance sampling and statistical Romberg method for Lévy processes
• Multi-index antithetic stochastic gradient algorithm
• Adaptive importance sampling for multilevel Monte Carlo Euler method
• Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
• Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
• Unbiased estimation with square root convergence for SDE models
• Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
• The multilevel Monte Carlo method used on a Lévy driven SDE
• Coupling importance sampling and multilevel Monte Carlo using sample average approximation
• A Monte Carlo algorithm for the extrema of tempered stable processes
• Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method
• Unbiased simulation of stochastic differential equations
• Limit theorems for weighted and regular multilevel estimators
• Central limit theorem for the antithetic multilevel Monte Carlo method
• Central limit theorems for multilevel Monte Carlo methods
• The central limit theorem for a nonlinear algorithm based on quantization

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