A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations

DOI10.1016/J.SPA.2011.03.015MaRDI QIDQ550167zbMATH OpenOpenAlexFDO

Authors Felix Heidenreich, Steffen Dereich

Publication date 8 July 2011

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2011.03.015

zbMATH Keywords

numerical integrationmultilevel Monte CarloquadratureLévy-driven stochastic differential equation

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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• Variable subspace sampling and multi-level algorithms

Cited in

(34)

• Implementable coupling of Lévy process and Brownian motion
• A unified approach to coupling SDEs driven by Lévy noise and some applications
• The multilevel Monte Carlo method used on a Lévy driven SDE
• Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
• Second-order algorithm for simulating stochastic differential equations with white noises
• Dynamics of a stochastic one-prey two-predator model with Lévy jumps
• Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\)
• Multilevel Monte Carlo method for ergodic SDEs without contractivity
• Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
• Multilevel path simulation for jump-diffusion SDEs
• Multilevel Monte Carlo for exponential Lévy models
• On multilevel Monte Carlo methods for deterministic and uncertain hyperbolic systems
• A multilevel stochastic collocation method for partial differential equations with random input data
• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Geometrically convergent simulation of the extrema of Lévy processes
• Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
• Multilevel Monte Carlo method with applications to stochastic partial differential equations
• On tamed Milstein schemes of SDEs driven by Lévy noise
• Thinning and multilevel Monte Carlo methods for piecewise deterministic (Markov) processes with an application to a stochastic Morris-Lecar model
• 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
• An Euler-Poisson scheme for Lévy driven stochastic differential equations
• Approximation of stochastic integrals with jumps via weighted BMO approach
• An introduction to multilevel Monte Carlo for option valuation
• Unbiased parameter inference for a class of partially observed Lévy-process models
• Multilevel particle filters for Lévy-driven stochastic differential equations
• Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
• Numerical simulations and modeling for stochastic biological systems with jumps
• Ninomiya-Victoir scheme : Multilevel Monte Carlo estimators and discretization of the involved Ordinary Differential Equations
• Optimal sampling design for global approximation of jump diffusion stochastic differential equations
• The optimal multilevel Monte-Carlo approximation of the stochastic drift-diffusion-Poisson system

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