Limit theorems for weighted and regular multilevel estimators
DOI10.1515/mcma-2017-0102zbMath1360.65025arXiv1611.05275MaRDI QIDQ515540
Daphné Giorgi, Gilles Pagès, Vincent 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
diffusion; law of large numbers; central limit theorem; Richardson-Romberg extrapolation; Euler scheme; multilevel Monte Carlo methods; nested Monte Carlo
60F05: Central limit and other weak theorems
65C05: Monte Carlo methods
60F15: Strong limit theorems
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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