The Multilevel Monte Carlo method used on a Lévy driven SDE
type: Item
instance of: scholarly article
title: The Multilevel Monte Carlo method used on a Lévy driven SDE
zbMATH Open document ID: 1197.65012
DOI: 10.1515/MCMA.2010.007
author: Henning Marxen
published in: Monte Carlo Methods and Applications
publication date: 2010-08-13T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5770203
zbMATH Keywords: Lévy processes
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Monte Carlo
zbMATH Keywords: multilevel Monte Carlo
zbMATH Keywords: complexity theorem
zbMATH Keywords: Euler scheme
zbMATH Keywords: Blumenthal-Getoor index
MaRDI profile type: Publication
cites work: Approximations of small jumps of Lévy processes with a view towards simulation
cites work: Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
cites work: Multilevel Monte Carlo Path Simulation
cites work: Upper bounds for minimal distances in the central limit theorem
description: scientific article