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math.PR2018★ 7 cited
Weak error for nested Multilevel Monte Carlo
Daphné Giorgi, Vincent Lemaire, Gilles Pagès
This article discusses MLMC estimators with and without weights, applied to nested expectations of the form E [f (E [F (Y, Z)|Y ])]. More precisely, we are interested on the assump…
math.PR2016★ 12 cited
Limit theorems for weighted and regular Multilevel estimators
Daphné Giorgi, Vincent Lemaire, Gilles Pagès
We aim at analyzing in terms of a.s. convergence and weak rate the performances of the Multilevel Monte Carlo estimator (MLMC) introduced in [Gil08] and of its weighted version, th…