Abstract
In this paper, we discuss the possibility of using multilevel Monte Carlo (MLMC) approach for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same complexity gain as under the presence of a strong convergence. We exemplify this general idea in the case of weak Euler schemes for Levy-driven stochastic differential equations. The numerical performance of the new “weak” MLMC method is illustrated by several numerical examples.
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