Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs

DOI10.3150/15-BEJ764zbMath1416.60069OpenAlexW2584440323MaRDI QIDQ520679

Tigran Nagapetyan, Denis Belomestny

Publication date: 5 April 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1486177388

zbMATH Keywords

multilevel Monte Carloweak approximation schemesLévy-driven stochastic differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (5)

Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient ⋮ Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function ⋮ Weak antithetic MLMC estimation of SDEs with the milstein scheme for low-dimensional Wiener processes ⋮ Random bit multilevel algorithms for stochastic differential equations ⋮ Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables

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