Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes (Q2957022)
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scientific article; zbMATH DE number 6676618
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| English | Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes |
scientific article; zbMATH DE number 6676618 |
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Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes (English)
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20 January 2017
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multilevel Monte Carlo
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Lévy-driven stochastic differential equation
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truncated stable distributions
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computation of expectations
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numerical examples
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algorithm
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0.851996660232544
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0.8356610536575317
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0.8169395327568054
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0.8150824308395386
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0.8149300217628479
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