A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching Lévy-driven SDEs with super-linearly growth coefficients
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arXiv
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| Auteurs principaux: | , , , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866910686951505920 |
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| author | Nguyen, Hoang-Viet Kieu, Trung-Thuy Luong, Duc-Trong Ngo, Hoang-Long Khue, Tran Ngoc |
| author_facet | Nguyen, Hoang-Viet Kieu, Trung-Thuy Luong, Duc-Trong Ngo, Hoang-Long Khue, Tran Ngoc |
| contents | This paper concerns the numerical approximation for the invariant distribution of Markovian switching Lévy-driven stochastic differential equations. By combining the tamed-adaptive Euler-Maruyama scheme with the Multi-level Monte Carlo method, we propose an approximation scheme that can be applied to stochastic differential equations with super-linear growth drift and diffusion coefficients. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_04081 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching Lévy-driven SDEs with super-linearly growth coefficients Nguyen, Hoang-Viet Kieu, Trung-Thuy Luong, Duc-Trong Ngo, Hoang-Long Khue, Tran Ngoc Probability Numerical Analysis This paper concerns the numerical approximation for the invariant distribution of Markovian switching Lévy-driven stochastic differential equations. By combining the tamed-adaptive Euler-Maruyama scheme with the Multi-level Monte Carlo method, we propose an approximation scheme that can be applied to stochastic differential equations with super-linear growth drift and diffusion coefficients. |
| title | A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching Lévy-driven SDEs with super-linearly growth coefficients |
| topic | Probability Numerical Analysis |
| url | https://arxiv.org/abs/2411.04081 |