Limit theorems for weighted and regular multilevel estimators
DOI10.1515/mcma-2017-0102zbMath1360.65025arXiv1611.05275OpenAlexW3100311742MaRDI 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
diffusionlaw of large numberscentral limit theoremRichardson-Romberg extrapolationEuler schememultilevel Monte Carlo methodsnested Monte Carlo
Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Strong limit theorems (60F15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (4)
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