Journal Articles Electronic Journal of Probability Year : 2019

Non-asymptotic error bounds for The Multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient

Abstract

In this paper, we are interested in deriving non-asymptotic error bounds for the multilevel Monte Carlo method. As a first step, we deal with the explicit Euler discretization of stochastic differential equations with a constant diffusion coefficient. We obtain Gaussian-type concentration. To do so, we use the Clark-Ocone representation formula and derive bounds for the moment generating functions of the squared difference between a crude Euler scheme and a finer one and of the squared difference of their Malliavin derivatives.
Fichier principal
Vignette du fichier
1708.07064.pdf (446.09 Ko) Télécharger le fichier
Origin Publication funded by an institution

Dates and versions

hal-01577874 , version 1 (13-02-2024)

Identifiers

Cite

Benjamin Jourdain, Ahmed Kebaier. Non-asymptotic error bounds for The Multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient. Electronic Journal of Probability, 2019, 24 (12), pp.1-34. ⟨10.1214/19-EJP271⟩. ⟨hal-01577874⟩
407 View
35 Download

Altmetric

Share

More