Weak error for nested multilevel Monte Carlo

DOI10.1007/s11009-019-09751-3zbMath1456.65003arXiv1806.07627OpenAlexW4298082477MaRDI QIDQ2218848

Vincent Lemaire, Gilles Pagès, Daphné Giorgi

Publication date: 18 January 2021

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

Full work available at URL: https://arxiv.org/abs/1806.07627

zbMATH Keywords

multilevel Monte Carlo methodweak error estimatenested Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Variance reduction for risk measures with importance sampling in nested simulation ⋮ Adaptive Multilevel Monte Carlo for Probabilities ⋮ Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests

Cites Work

• Unnamed Item
• Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
• Limit theorems for weighted and regular multilevel estimators
• On irregular functionals of SDEs and the Euler scheme
• Numerical probability. An introduction with applications to finance
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Multilevel Richardson-Romberg extrapolation
• Multilevel Monte Carlo Methods
• Nested Simulation in Portfolio Risk Measurement
• Multilevel Monte Carlo Path Simulation
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Expansion of the global error for numerical schemes solving stochastic differential equations

This page was built for publication: Weak error for nested multilevel Monte Carlo