The multilevel Monte Carlo method used on a Lévy driven SDE

DOI10.1515/MCMA.2010.007MaRDI QIDQ3580728zbMATH OpenFDO

Authors Henning Marxen

Publication date 13 August 2010

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/MCMA.2010.007

zbMATH Keywords

Blumenthal-Getoor indexcomplexity theoremEuler schemeLévy processesMonte Carlomultilevel Monte Carlostochastic differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Approximations of small jumps of Lévy processes with a view towards simulation
• Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
• Multilevel Monte Carlo Path Simulation
• Upper bounds for minimal distances in the central limit theorem

Cited in

(17)

• Central limit theorem for the multilevel Monte Carlo Euler method
• Multilevel path simulation to jump-diffusion process with superlinear drift
• Multilevel particle filters for Lévy-driven stochastic differential equations
• Efficient almost-exact Lévy area sampling
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• 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
• Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
• Multilevel Monte Carlo method with applications to stochastic partial differential equations
• Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• Monte Carlo simulation of asymmetric flow field flow fractionation
• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
• A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
• Multilevel Monte Carlo for stochastic differential equations with additive fractional noise

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