Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes

DOI10.1007/978-3-319-33507-0_1zbMath1356.65016OpenAlexW2496412637MaRDI QIDQ2957022

Steffen Dereich, Sangmeng Li

Publication date: 20 January 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33507-0_1

zbMATH Keywords

algorithmnumerical examplesLévy-driven stochastic differential equationmultilevel Monte Carlocomputation of expectationstruncated stable distributions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations ⋮ Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes

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