Abstract
This article discusses MLMC estimators with and without weights, applied to nested expectations of the form Ef(EF(Y,Z)|Y ). More precisely, we are interested on the assumptions needed to comply with the MLMC framework, depending on whether the payoff function f is smooth or not. A new result to our knowledge is given when f is not smooth in the development of the weak error at an order higher than 1, which is needed for a successful use of MLMC estimators with weights.
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Giorgi, D., Lemaire, V. & Pagès, G. Weak Error for Nested Multilevel Monte Carlo. Methodol Comput Appl Probab 22, 1325–1348 (2020). https://doi.org/10.1007/s11009-019-09751-3
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DOI: https://doi.org/10.1007/s11009-019-09751-3