Multilevel Richardson-Romberg Extrapolation

  title={Multilevel Richardson-Romberg Extrapolation},
  author={Vincent Lemaire and Gilles Pag{\`e}s},
  journal={Derivatives eJournal},
We propose and analyze a Multilevel Richardson-Romberg ($MLRR$) estimator which combines the higher order bias cancellation of the Multistep Richardson-Romberg ($MSRR$) method introduced in [Pag07] and the variance control resulting from the stratification in the Multilevel Monte Carlo ($MLMC$) method (see [Hei01, Gil08]). Thus we show that in standard frameworks like discretization schemes of diffusion processes an assigned quadratic error $\varepsilon$ can be obtained with our ($MLRR… 

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Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity

  • G. Pagès
  • Mathematics
    Monte Carlo Methods Appl.
  • 2007
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