Central Limit Theorem for Irregular Discretization Scheme of Multilevel Monte Carlo Method
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866917139909181440 |
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| author | Guo, Yi Guo, Yuxi Wang, Hanchao |
| author_facet | Guo, Yi Guo, Yuxi Wang, Hanchao |
| contents | In this paper, we study the asymptotic error distribution for a two-level irregular discretization scheme of the solution to the stochastic differential equations (SDE for short) driven by a continuous semimartingale and obtain a central limit theorem for the error processes with the rate $\sqrt{n}$. As an application, in the spirit of the result of Ben Alaya and Kebaier, we get a central limit theorem of the Linderberg-Feller type for the irregular discretization scheme of the multilevel Monte Carlo method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_14395 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Central Limit Theorem for Irregular Discretization Scheme of Multilevel Monte Carlo Method Guo, Yi Guo, Yuxi Wang, Hanchao Probability In this paper, we study the asymptotic error distribution for a two-level irregular discretization scheme of the solution to the stochastic differential equations (SDE for short) driven by a continuous semimartingale and obtain a central limit theorem for the error processes with the rate $\sqrt{n}$. As an application, in the spirit of the result of Ben Alaya and Kebaier, we get a central limit theorem of the Linderberg-Feller type for the irregular discretization scheme of the multilevel Monte Carlo method. |
| title | Central Limit Theorem for Irregular Discretization Scheme of Multilevel Monte Carlo Method |
| topic | Probability |
| url | https://arxiv.org/abs/2502.14395 |