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.
Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities.SIAM Journal on Scientific Computing, 46(3):A1514–A1548
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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.