Multilevel Richardson-Romberg extrapolation
type: Item
instance of: scholarly article
title: Multilevel Richardson-Romberg extrapolation
zbMATH Open document ID: 1383.65003
DOI: 10.3150/16-BEJ822
author: V. Lemaire
author: Gilles Pagès
published in: Bernoulli
publication date: 2017-09-21T00:00:00Z
full work available at URL: https://arxiv.org/abs/1401.1177
full work available at URL: https://projecteuclid.org/euclid.bj/1494316828
review text: The paper proposes to improve the standard multilevel Monte Carlo (MLMC) paradigm by combining the MLMC estimator and the multistep Richardson-Romberg extrapolation with a general parametrized framework to formalize the optimization of a biased Monte Carlo simulation based on the \(L^{2}\)-error minimization. As examples of applications, a weak expansion of the error at any order is established for the time discretization of stochastic processes and the nested Monte Carlo method. Some numerical experimental results are presented.
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60-08
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6778252
zbMATH Keywords: Euler scheme
zbMATH Keywords: multilevel Monte Carlo estimator
zbMATH Keywords: multistep
zbMATH Keywords: nested Monte Carlo method
zbMATH Keywords: option pricing
zbMATH Keywords: Richardson-Romberg extrapolation
zbMATH Keywords: numerical experimental results
MaRDI profile type: Publication
arXiv ID: 1401.1177
OpenAlex ID: W2952469530
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description: scientific article