A Variance-Reduced Multilevel Monte Carlo Algorithm for Maximum Likelihood Inference in Multivariate Diffusions
We introduce a Multilevel Monte Carlo method for approximating the transitiondensity for discretely observed multivariate diffusion processes. These areused within a Pseudo-marginal Metropolis-Hastings (PMMH) algorithm to do Bayesianinference on the parameters.The Pedersen representation shows how the transition density can be representedas a conditional expectation, but the corresponding Monte Ca