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arXiv · 2506.03421

Central limit theorem of Multilevel Monte Carlo Euler estimators for Stochastic Volterra equations with fractional kernels

Shanqi Liu·Yaozhong Hu·Hongjun Gao
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Abstract

This paper is devoted to proving a (Lindeberg-Feller type ) central limit theorem for the multilevel Monte Carlo estimator associated with the Euler discretization scheme for the stochastic Volterra equations with fractional kernels $K(u)=u^{H-\frac{1}{2}}/\Gamma(H+1/2), H\in (0,1/2]$.

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Shanqi Liu, Yaozhong Hu, Hongjun Gao. 2025-06-03. Central limit theorem of Multilevel Monte Carlo Euler estimators for Stochastic Volterra equations with fractional kernels. https://arxiv.org/abs/2506.03421

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