2 papers
q-fin.CP2024
Multilevel Monte Carlo in Sample Average Approximation: Convergence, Complexity and Application
Devang Sinha, Siddhartha P. Chakrabarty
In this paper, we examine the Sample Average Approximation (SAA) procedure within a framework where the Monte Carlo estimator of the expectation is biased. We also introduce Multil…
q-fin.CP2022
Multilevel Monte Carlo and its Applications in Financial Engineering
Devang Sinha, Siddhartha P. Chakrabarty
In this article, we present a review of the recent developments on the topic of Multilevel Monte Carlo (MLMC) algorithm, in the paradigm of applications in financial engineering. W…