Central limit theorem of Multilevel Monte Carlo Euler estimators for Stochastic Volterra equations with fractional kernels

Abstract

This paper is devoted to proving a (Lindeberg-Feller type ) central limit theorem for the multilevel Monte Carlo estimator associated with the Euler discretization scheme for the stochastic Volterra equations with fractional kernels $K(u)=u^{H-\frac{1}{2}}/\hat{I}“(H+1/2),H\in (0,1/2]$.

52 pages