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arXiv · 1806.07627

Weak error for nested Multilevel Monte Carlo

Daphné Giorgi·Vincent Lemaire·Gilles Pagès
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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.

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Daphné Giorgi, Vincent Lemaire, Gilles Pagès. 2018-06-20. Weak error for nested Multilevel Monte Carlo. https://doi.org/10.1007/s11009-019-09751-3

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