A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching L\'evy-driven SDEs with super-linearly growth coefficients

Hoang-Viet Nguyen; Trung-Thuy Kieu; Duc-Trong Luong; Hoang-Long Ngo; Tran Ngoc Khue

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arXiv · 2411.04081

A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching L\'evy-driven SDEs with super-linearly growth coefficients

Hoang-Viet Nguyen·Trung-Thuy Kieu·Duc-Trong Luong·Hoang-Long Ngo·Tran Ngoc Khue

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Abstract

This paper concerns the numerical approximation for the invariant distribution of Markovian switching L\'evy-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.

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BibTeX RIS

Hoang-Viet Nguyen, Trung-Thuy Kieu, Duc-Trong Luong, Hoang-Long Ngo, Tran Ngoc Khue. 2024-11-06. A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching L\'evy-driven SDEs with super-linearly growth coefficients. https://arxiv.org/abs/2411.04081

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