Nested MLMC with preintegration achieves a strong convergence rate of -1 for risk estimation, yielding nearly optimal computational complexity compared to standard MLMC's -1/2 rate.
Efficient risk estimation via nested mul- tilevel quasi-Monte Carlo simulation.Journal of Computational and Applied Mathematics, 443:115745
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Nested Multilevel Monte Carlo with Preintegration for Efficient Risk Estimation
Nested MLMC with preintegration achieves a strong convergence rate of -1 for risk estimation, yielding nearly optimal computational complexity compared to standard MLMC's -1/2 rate.