Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs
In this paper, we discuss the possibility of using multilevel Monte Carlo (MLMC) approach for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same complexity gain as under the presence of a strong converg...
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| Format: | Journal article |
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Bernoulli Society for Mathematical Statistics and Probability
2017
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