The multilevel Monte-Carlo Method for stochastic differential equations driven by jump-diffusion processes
نویسندگان
چکیده
In this article we discuss the multilevel Monte Carlo method for stochastic differential equations driven by jump-diffusion processes. We show that for a reasonable jump intensity the multilevel Monte Carlo method for jump-diffusions reduces the computational complexity compared to the standard Monte Carlo method significantly for a given mean square accuracy. Carrying out numerical experiments on various examples, we compare the multilevel Monte Carlo method to standard Monte Carlo methods with and without variance reduction techniques. These experiments corroborate our theoretical findings and show for a sufficiently small mean square accuracy a significant reduction of the computational complexity of the multilevel Monte Carlo method compared to standard Monte Carlo methods.
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