The Multilevel Monte Carlo method used on a Lvy driven SDE

被引：2

作者：

Marxen, Henning ^{[1
]}

机构：

[1] Tech Univ Kaiserslautern, Dept Math, Erwin Schrodinger Str, D-67663 Kaiserslautern, Germany

来源：

MONTE CARLO METHODS AND APPLICATIONS | 2010年 / 16卷 / 02期

关键词：

Levy processes; stochastic differential equations; Monte Carlo; Multilevel Monte Carlo; complexity theorem; Euler scheme; Blumenthal-Getoor index;

D O I：

10.1515/MCMA.2010.007

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper the Multilevel Monte Carlo method introduced by Giles [10] is refined by the extended complexity theorem and applied to Levy process driven SDEs. The restricted approximate Euler scheme is used to simulate the SDEs. Recent results about the convergence by Fournier [9] and by Jacod, Kurtz, Maleard and Protter [12] are used. The theoretical results are illustrated by numerical simulations.

引用

页码：167 / 190

页数：24

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