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Weak error for nested Multilevel Monte Carlo

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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https://hal.archives-ouvertes.fr/hal-01817386
Contributor : Vincent Lemaire <>
Submitted on : Sunday, June 17, 2018 - 5:44:45 PM
Last modification on : Friday, April 10, 2020 - 5:13:34 PM
Document(s) archivé(s) le : Tuesday, September 18, 2018 - 1:51:31 PM

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  • HAL Id : hal-01817386, version 1
  • ARXIV : 1806.07627

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Daphné Giorgi, Vincent Lemaire, Gilles Pagès. Weak error for nested Multilevel Monte Carlo. 2018. ⟨hal-01817386⟩

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