Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs

DOI10.3150/15-BEJ764MaRDI QIDQ520679zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Tigran Nagapetyan

Publication date 5 April 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bj/1486177388

zbMATH Keywords

multilevel Monte Carloweak approximation schemesLévy-driven stochastic differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited in

(11)

• The multilevel Monte Carlo method used on a Lévy driven SDE
• Random bit multilevel algorithms for stochastic differential equations
• Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function
• A note on the importance of weak convergence rates for SPDE approximations in multilevel Monte Carlo schemes
• Weak antithetic MLMC estimation of SDEs with the milstein scheme for low-dimensional Wiener processes
• Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme
• Analysis of nested multilevel Monte Carlo using approximate normal random variables
• Non-asymptotic error bounds for the multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
• Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators
• Multilevel path simulation to jump-diffusion process with superlinear drift

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