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Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes

  • Steffen DereichEmail author
  • Sangmeng Li
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 163)

Abstract

In this article we present an implementation of a multilevel Monte Carlo scheme for Lévy-driven SDEs introduced and analysed in (Dereich and Li, Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes, Ann. Appl. Probab. 26, No. 1, 136–185, 2016 [12]). The scheme is based on direct simulation of Lévy increments. We give an efficient implementation of the algorithm. In particular, we explain direct simulation techniques for Lévy increments. Further, we optimise over the involved parameters and, in particular, the refinement multiplier. This article complements the theoretical considerations of the above reference. We stress that we focus on the case where the frequency of small jumps is particularly high, meaning that the Blumenthal–Getoor index is larger than one.

Keywords

Multilevel Monte Carlo Lévy-driven stochastic differential equation Truncated stable distributions Computation of expectations 

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Copyright information

© Springer International Publishing Switzerland 2016

Authors and Affiliations

  1. 1.Institut Für Mathematische Statistik, Westfälische Wilhelms-Universität MünsterMünsterGermany

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