Limit theorems for weighted and regular multilevel estimators

DOI10.1515/MCMA-2017-0102MaRDI QIDQ515540zbMATH OpenOpenAlexFDO

Authors Daphné Giorgi, Gilles Pagès, V. Lemaire

Publication date 16 March 2017

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.05275

zbMATH Keywords

central limit theoremdiffusionEuler schemelaw of large numbersmultilevel Monte Carlo methodsnested Monte CarloRichardson-Romberg extrapolation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We aim at analyzing in terms of a.s. convergence and weak rate the performances of the Multilevel Monte Carlo estimator (MLMC) introduced in [Gil08] and of its weighted version, the Multilevel Richardson Romberg estimator (ML2R), introduced in [LP14]. These two estimators permit to compute a very accurate approximation of $I_0=mathbbE[Y_0]$ by a Monte Carlo type estimator when the (non-degenerate) random variable $Y_{0}in{L}^2(mathbbP)$ cannot be simulated (exactly) at a reasonable computational cost whereas a family of simulatable approximations $(Y_h{)}_{hinmathcalH}$ is available. We will carry out these investigations in an abstract framework before applying our results, mainly a Strong Law of Large Numbers and a Central Limit Theorem, to some typical fields of applications: discretization schemes of diffusions and nested Monte Carlo.

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Cited in

(12)

• Weighted multilevel Langevin simulation of invariant measures
• Rates of convergence and CLTs for subcanonical debiased MLMC
• Central limit theorem for the antithetic multilevel Monte Carlo method
• Weak error for nested multilevel Monte Carlo
• Central limit theorems for multilevel Monte Carlo methods
• A CLT for infinitely stratified estimators, with applications to debiased MLMC
• Unbiased estimators and multilevel Monte Carlo
• Asymptotic analysis of multilevel best linear unbiased estimators
• Multilevel nested simulation for efficient risk estimation
• Multilevel Monte Carlo metamodeling for variance function estimation
• Asymptotic behavior of a multilevel type error for SDEs driven by a pure jump Lévy process
• Optimized multi-level Monte Carlo parametrization and antithetic sampling for nested simulations

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