Central limit theorem for the multilevel Monte Carlo Euler method

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

zbMATH Keywords

central limit theoremEuler schememultilevel Monte Carlo methods

Mathematics Subject Classification ID

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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Importance sampling and statistical Romberg method for Lévy processes ⋮ Multi-level stochastic approximation algorithms ⋮ Coupling importance sampling and multilevel Monte Carlo using sample average approximation ⋮ Central limit theorem for the antithetic multilevel Monte Carlo method ⋮ Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates ⋮ Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes ⋮ Adaptive importance sampling for multilevel Monte Carlo Euler method ⋮ Approximation of Stochastic Volterra Equations with kernels of completely monotone type ⋮ Multi-index antithetic stochastic gradient algorithm ⋮ Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Unbiased simulation of stochastic differential equations ⋮ Discrete-time simulation of stochastic Volterra equations ⋮ Limit theorems for weighted and regular multilevel estimators ⋮ General multilevel adaptations for stochastic approximation algorithms. II: CLTs ⋮ Central limit theorems for multilevel Monte Carlo methods ⋮ Unbiased Estimation with Square Root Convergence for SDE Models ⋮ Unbiased Estimators and Multilevel Monte Carlo ⋮ Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations ⋮ Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes

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