Weak error for nested Multilevel Monte Carlo
Probability
2022-02-10 v1
Abstract
This article discusses MLMC estimators with and without weights, applied to nested expectations of the form E [f (E [F (Y, Z)|Y ])]. More precisely, we are interested on the assumptions needed to comply with the MLMC framework, depending on whether the payoff function f is smooth or not. A new result to our knowledge is given when f is not smooth in the development of the weak error at an order higher than 1, which is needed for a successful use of MLMC estimators with weights.
Cite
@article{arxiv.1806.07627,
title = {Weak error for nested Multilevel Monte Carlo},
author = {Daphné Giorgi and Vincent Lemaire and Gilles Pagès},
journal= {arXiv preprint arXiv:1806.07627},
year = {2022}
}