Asymptotic behavior of the multilevel type error for SDEs driven by a pure jump L\'evy process

arXiv2104.13812MaRDI QIDQ6366368FDOQ6366368

Authors: Mohamed Ben Alaya, Ahmed Kebaier, Thi Bao Tram Ngo 

Publication date: 28 April 2021

Abstract: Motivated by the multilevel Monte Carlo method introduced by Giles [5], we study the asymptotic behavior of the normalized error process $u_{n,m}(X^n-X^{nm})$ where $X^n$ and $X^{nm}$ are respectively Euler approximations with time steps $1/n$ and $1/nm$ of a given stochastic differential equation $X$ driven by a pure jump L'evy process. In this paper, we prove that this normalized multilevel error converges to different non-trivial limiting processes with various sharp rates $u_{n,m}$ depending on the behavior of the L'evy measure around zero. Our results are consistent with those of Jacod [9] obtained for the normalized error $u_n(X^n-X)$, as when letting $m$ tends to infinity, we recover the same limiting processes. For the multilevel error, the proofs of the current paper are challenging since unlike [9] we need to deal with $m$ dependent triangular arrays instead of one.

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Numerical solutions to stochastic differential and integral equations (65C30)

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