Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction

DOI10.1214/10-AAP695zbMath1220.60040arXiv1101.1369MaRDI QIDQ627246

Steffen Dereich

Publication date: 21 February 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.1369

zbMATH Keywords

numerical integrationmultilevel Monte Carlo methodLévy driven stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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