Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$
Computational Finance
2017-03-14 v2 Probability
Abstract
In this paper a novel modification of the multilevel Monte Carlo approach, allowing for further significant complexity reduction, is proposed. The idea of the modification is to use the method of control variates to reduce variance at level zero. We show that, under a proper choice of control variates, one can reduce the complexity order of the modified MLMC algorithm down to for any with being the precision to be achieved. These theoretical results are illustrated by several numerical examples.
Keywords
Cite
@article{arxiv.1412.4045,
title = {Variance reduced multilevel path simulation: going beyond the complexity $\varepsilon^{-2}$},
author = {Denis Belomestny and Tigran Nagapetyan},
journal= {arXiv preprint arXiv:1412.4045},
year = {2017}
}