Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes

DOI10.1007/978-3-319-33507-0_1MaRDI QIDQ2957022zbMATH OpenOpenAlexFDO

Authors Steffen Dereich, Sangmeng Li

Publication date 20 January 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-33507-0_1

zbMATH Keywords

algorithmcomputation of expectationsLévy-driven stochastic differential equationmultilevel Monte Carlonumerical examplestruncated stable distributions

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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Cited in

(5)

• Malliavin-based multilevel Monte Carlo estimators for densities of max-stable processes
• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
• Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations

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