Coupling importance sampling and multilevel Monte Carlo using sample average approximation

DOI10.1007/s11009-017-9579-yzbMath1394.60018arXiv1510.03590OpenAlexW2185676580MaRDI QIDQ1657808

Ahmed Kebaier, Jérôme Lelong

Publication date: 14 August 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.03590

zbMATH Keywords

importance samplingcentral limit theoremvariance reductionmultilevel Monte Carlosample average approximationuniform strong large law of numbers

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)

Related Items (9)

Estimation of distributions via multilevel Monte Carlo with stratified sampling ⋮ Central limit theorem for the antithetic multilevel Monte Carlo method ⋮ An ensemble scheme for the numerical solution of a random transient heat equation with uncertain inputs ⋮ Adaptive importance sampling for multilevel Monte Carlo Euler method ⋮ Central limit theorems for multilevel Monte Carlo methods ⋮ General multilevel Monte Carlo methods for pricing discretely monitored Asian options ⋮ Automatic control variates for option pricing using neural networks ⋮ Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method ⋮ Multi-index ensemble Kalman filtering

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