Extrapolated multilevel variance-decay conjecture
Extrapolated multilevel variance-decay conjecture
Let and denote the extrapolated fine- and coarse-level quantities at level . Assume that . Extrapolated multilevel variance-decay conjecture. The per-level variance satisfies
The extrapolated antithetic construction is intended to raise the time-difference contribution to second order, yielding the stated fourth-order variance decay, while leaving the computational cost per sample unchanged.
Sources & referencesView supporting material
Primary source
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Raúl Tempone and Leon Wilkosz, “Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC”, arXiv:2409.09821 (2024).
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