Central limit theorem of Multilevel Monte Carlo Euler estimators for Stochastic Volterra equations with fractional kernels

2025/06/03 by Shanqi Liu, Liu, Shanqi, Yaozhong Hu +3
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Fractional Differential Equations Solutions #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2506.03421

openalex publication_date 2025/06/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper is devoted to proving a (Lindeberg-Feller type ) central limit theorem for the multilevel Monte Carlo estimator associated with the Euler discretization scheme for the stochastic Volterra equations with fractional kernels K(u)=u^H-(1)/(2)/Γ(H+1/2), H∈ (0,1/2].

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• Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation
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