Multilevel Monte Carlo Methods for Simulated Maximum Likelihood Inference in Multivariate Diffusions
Multilevel Monte Carlo is a novel method for reducing the computational costwhen computing conditional expectations of stochastic processes. This paper considersthe transition density for diffusion processes. It is known that the transitiondensity can be written as an expectation by utilizing the law of total probabilitycombined with the Markov property. This idea is combined with the multilevelMoMultilevel Monte Carlo is a novel method for reducing the computational cost when computing conditional expectations of stochastic processes. This paper considers the transition density for diffusion processes. It is known that the transition density can be written as an expectation by utilizing the law of total probability combined with the Markov property. This idea is combined with the multilev
