مشخصات پژوهش

عنوان	Multilevel path simulation to jump-diffusion process with superlinear drift
نوع پژوهش	مقاله چاپ شده
کلیدواژه‌ها	Multilevel Monte-Carlo, One-sided Lipschitz condition, Jump process, Strong approximation schemes
چکیده	In this work, we will show strong convergence of the Multilevel Monte-Carlo (MLMC) algorithm with split-step backward Euler (SSBE) and backward (drift-implicit) Euler (BE) schemes for nonlinear jump-diffusion stochastic differential equations (SDEs) when the drift coefficient is globally one-sided Lipschitz and the test function is only locally Lipschitz. We also confirm these theoretical results by numerical experiments for the jump-diffusion processes.
پژوهشگران	مهدیه طهماسبی (نفر دوم)، آزاده قاسمی فرد (نفر اول)