English

Multilevel path simulation for weak approximation schemes

Computational Finance 2014-10-07 v3

Abstract

In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same complexity gain as under the presence of a strong convergence. We exemplify this general idea in the case of weak Euler scheme for L\'evy driven stochastic differential equations, and show that, given a weak convergence of order α1/2,\alpha\geq 1/2, the complexity of the corresponding "weak" MLMC estimate is of order ε2log2(ε).\varepsilon^{-2}\log ^{2}(\varepsilon). The numerical performance of the new "weak" MLMC method is illustrated by several numerical examples.

Keywords

Cite

@article{arxiv.1406.2581,
  title  = {Multilevel path simulation for weak approximation schemes},
  author = {Denis Belomestny and Tigran Nagapetyan},
  journal= {arXiv preprint arXiv:1406.2581},
  year   = {2014}
}
R2 v1 2026-06-22T04:35:08.751Z