Central limit theorem for the multilevel Monte Carlo Euler method
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Publication:2258530
DOI10.1214/13-AAP993zbMATH Open1320.60073arXiv1501.06365OpenAlexW2158728482MaRDI QIDQ2258530FDOQ2258530
Authors: Mohamed Ben Alaya, Ahmed Kebaier 
Publication date: 26 February 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1501.06365
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Cited In (26)
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