A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure

DOI10.1016/j.apnum.2024.08.007MaRDI QIDQ6638820

Michał Sobieraj

Publication date: 14 November 2024

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

information-based complexityPoisson random measuremultilevel Monte Carlo methodstochastic differential equations with jumpscountably dimensional Wiener processrandomized Euler algorithm

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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