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arxiv: 1708.07064 · v2 · pith:UDWJUPBNnew · submitted 2017-08-23 · 🧮 math.PR

Non-asymptotic error bounds for The Multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient

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keywords boundseulermultilevelcarlocoefficientconstantdifferencediffusion
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In this paper, we are interested in deriving non-asymptotic error bounds for the multilevel Monte Carlo method. As a first step, we deal with the explicit Euler discretization of stochastic differential equations with a constant diffusion coefficient. We prove that, as long as the deviation is below an explicit threshold, a Gaussian-type concentration inequality optimal in terms of the variance holds for the multilevel estimator. To do so, we use the Clark-Ocone representation formula and derive bounds for the moment generating functions of the squared difference between a crude Euler scheme and a finer one and of the squared difference of their Malliavin derivatives.

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