Central Limit Theorem for Irregular Discretization Scheme of Multilevel Monte Carlo Method
Probability
2025-12-15 v2
Abstract
In this paper, we study the asymptotic error distribution for a two-level irregular discretization scheme of the solution to the stochastic differential equations (SDE for short) driven by a continuous semimartingale and obtain a central limit theorem for the error processes with the rate . As an application, in the spirit of the result of Ben Alaya and Kebaier, we get a central limit theorem of the Linderberg-Feller type for the irregular discretization scheme of the multilevel Monte Carlo method.
Cite
@article{arxiv.2502.14395,
title = {Central Limit Theorem for Irregular Discretization Scheme of Multilevel Monte Carlo Method},
author = {Yi Guo and Yuxi Guo and Hanchao Wang},
journal= {arXiv preprint arXiv:2502.14395},
year = {2025}
}