The Multilevel Monte Carlo method used on a Lévy driven SDE

DOI10.1515/MCMA.2010.007zbMath1197.65012MaRDI QIDQ3580728

Henning Marxen

Publication date: 13 August 2010

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

Lévy processesMonte Carlostochastic differential equationsEuler schemeBlumenthal-Getoor indexmultilevel Monte Carlocomplexity theorem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Multilevel Monte Carlo method with applications to stochastic partial differential equations ⋮ Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations

Cites Work

• Upper bounds for minimal distances in the central limit theorem
• Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
• Approximations of small jumps of Lévy processes with a view towards simulation
• Multilevel Monte Carlo Path Simulation

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