Central limit theorem for the multilevel Monte Carlo Euler method

Mohamed Ben Alaya; Ahmed Kebaier

doi:10.1214/13-aap993

Central limit theorem for the multilevel Monte Carlo Euler method

The Annals of Applied Probability ◽

10.1214/13-aap993 ◽

2015 ◽

Vol 25 (1) ◽

pp. 211-234 ◽

Cited By ~ 11

Author(s):

Mohamed Ben Alaya ◽

Ahmed Kebaier

Keyword(s):

Monte Carlo ◽

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Euler Method ◽

Multilevel Monte Carlo

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Multiple scattering and central limit theorem: A monte carlo approach

physica status solidi (b) ◽

10.1002/pssb.2220690108 ◽

1975 ◽

Vol 69 (1) ◽

pp. 71-78 ◽

Cited By ~ 5

Author(s):

A. Desalvo ◽

R. Rosa

Keyword(s):

Monte Carlo ◽

Central Limit Theorem ◽

Limit Theorem ◽

Multiple Scattering ◽

Central Limit ◽

Monte Carlo Approach

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A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance

Journal of Complexity ◽

10.1016/j.jco.2006.03.003 ◽

2006 ◽

Vol 22 (4) ◽

pp. 435-458 ◽

Cited By ~ 21

Author(s):

Giray Ökten ◽

Bruno Tuffin ◽

Vadim Burago

Keyword(s):

Monte Carlo ◽

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Error Bounds ◽

Computational Finance ◽

Hybrid Monte Carlo ◽

Monte Carlo Sequence

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Crude Monte Carlo quadrature in infinite variance case and the Central Limit Theorem

BIT Numerical Mathematics ◽

10.1007/bf01966094 ◽

1966 ◽

Vol 6 (4) ◽

pp. 339-346 ◽

Cited By ~ 1

Author(s):

Aimo Törn

Keyword(s):

Monte Carlo ◽

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Infinite Variance ◽

The Central Limit Theorem

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A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Methods

Electronic Journal of Probability ◽

10.1214/ejp.v14-701 ◽

2009 ◽

Vol 14 (0) ◽

pp. 2130-2155 ◽

Cited By ~ 2

Author(s):

Bernard Bercu ◽

Pierre Del Moral ◽

Arnaud Doucet

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Markov Chain Monte Carlo ◽

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Monte Carlo Methods ◽

Functional Central Limit Theorem ◽

Functional Central Limit

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Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference

The Annals of Statistics ◽

10.1214/009053604000000698 ◽

2004 ◽

Vol 32 (6) ◽

pp. 2385-2411 ◽

Cited By ~ 174

Author(s):

Nicolas Chopin

Keyword(s):

Monte Carlo ◽

Bayesian Inference ◽

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Monte Carlo Methods ◽

Sequential Monte Carlo ◽

Sequential Monte Carlo Methods

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Monte Carlo methods via the use of the central-limit theorem

EPL (Europhysics Letters) ◽

10.1209/epl/i2003-00491-5 ◽

2003 ◽

Vol 63 (4) ◽

pp. 479-484 ◽

Cited By ~ 6

Author(s):

E. G Thrapsaniotis

Keyword(s):

Monte Carlo ◽

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Monte Carlo Methods ◽

The Central Limit Theorem

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Applets Demonstrating the Central Limit Theorem and Statistical Power

PsycEXTRA Dataset ◽

10.1037/e652672007-001 ◽

2007 ◽

Author(s):

Amanda Saw ◽

Dale E. Berger ◽

Giovanni Sosa

Keyword(s):

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Statistical Power ◽

The Central Limit Theorem

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Central limit theorem for weakly dependent random fields with values in $l_p$ ($1 \lep \le2$) and $c_0$ spaces

Uzbek Mathematical Journal ◽

10.29229/uzmj.2020-1-11 ◽

2020 ◽

Vol 2020 (1) ◽

pp. 116-122

Author(s):

D.S. Ruzieva ◽

O.Sh. Sharipov

Keyword(s):

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Random Fields ◽

Weakly Dependent

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ON THE RATES OF CONVERGENCE IN THE CENTRAL LIMIT THEOREM FOR TWO-PARAMETER MARTINGALE DIFFERENCES

Acta Mathematica Scientia ◽

10.1016/s0252-9602(17)30804-4 ◽

1996 ◽

Vol 16 (3) ◽

pp. 287-295

Author(s):

Hongwei Long

Keyword(s):

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Rates Of Convergence ◽

Martingale Differences ◽

The Central Limit Theorem ◽

Two Parameter

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On the Central Limit Theorem for the Prime Divisor Function

American Mathematical Monthly ◽

10.2307/2317259 ◽

1969 ◽

Vol 76 (2) ◽

pp. 132 ◽

Cited By ~ 4

Author(s):

Patrick Billingsley

Keyword(s):

Central Limit Theorem ◽

Limit Theorem ◽

Central Limit ◽

Prime Divisor ◽

Divisor Function ◽

The Central Limit Theorem

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