Central limit theorems for multilevel Monte Carlo methods

In this work, we show that uniform integrability is not a necessary condition for central limit theorems (CLT) to hold for normalized multilevel Monte Carlo MLMC estimators, and we provide near optimal weaker conditions under which the CLT is achieved. In particular, if the variance decay rate dominates the computational cost rate (i.e., $\beta> \gamma$), we prove that the CLT always holds.


Year:
2018
Laboratories:




 Record created 2018-04-06, last modified 2018-09-13


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