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)

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)

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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)

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

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