Central Limit Theorem for Irregular Discretization Scheme of Multilevel Monte Carlo Method

• DOI: 10.48550/arxiv.2502.14395
• Publication Date: 2025-02-20
• Authors: Yi Guo; Yuxi Guo; Hanchao Wang
• Keywords: Central limit theorem; Quasi-Monte Carlo method

In this paper, we study the asymptotic error distribution for a two-level irregular discretization scheme of solution to stochastic differential equations (SDE short) driven by continuous semimartingale and obtain central limit theorem processes with rate $\sqrt{n}$. As an application, in spirit result Ben Alaya Kebaier, get Linderberg-Feller type multilevel Monte Carlo method.