Improved adaptive Multilevel Monte Carlo and applications to finance.

Summary This paper focuses on the study of an original combination of the Multilevel Monte Carlo method introduced by Giles [10] and the popular importance sampling technique. To compute the optimal choice of the parameter involved in the importance sampling method, we rely on Robbins-Monro type stochastic algorithms. On the one hand, we extend our previous work [2] to the Multilevel Monte Carlo setting. On the other hand, we improve [2] by providing a new adaptive algorithm avoiding the discretization of any additional process. Furthermore, from a technical point of view, the use of the same stochastic algorithms as in [2] appears to be problematic. To overcome this issue, we employ an alternative version of stochastic algorithms with projection (see e.g.