Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction (Q627246)

The author considers the problem of the computation of \(E[f(Y)]\), where \(Y= \{T_t\}_{\{t\in [0,1]\}}\) is a solution of a multidimensional Lévy-driven stochastic differential equation and \(f\) is a real-valued function on the path space. He proposes a multilevel Monte Carlo algorithms and analyzes the upper bounds for the worst case error over the class of all measurable real functions \(f\). Unfortunately, no illustrative examples or simulations are given.