The multilevel Monte Carlo method used on a Lévy driven SDE

DOI10.1515/MCMA.2010.007zbMATH Open1197.65012MaRDI QIDQ3580728FDOQ3580728

Authors: Henning Marxen 

Publication date: 13 August 2010

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

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zbMATH Keywords

Monte CarloEuler schemestochastic differential equationsBlumenthal-Getoor indexmultilevel Monte CarloLévy processescomplexity theorem

Mathematics Subject Classification ID

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

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 (7)

• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• Multilevel Monte Carlo method with applications to stochastic partial differential equations
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs
• Multilevel Monte Carlo for stochastic differential equations with additive fractional noise

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