مشخصات پژوهش

عنوان	On the multilevel Monte-Carlo simulation: jump-diffusion assets with superlinear drifts
نوع پژوهش	مقاله ارائه شده
کلیدواژه‌ها	multilevel Monte-Carlo, one-sided Lipschitz, split-step scheme, strong approximation.
چکیده	This article is about the strong convergence of the Multilevel Monte-Carlo (MLMC) algorithm when applying with split-step backward Euler (SSBE) scheme to nonlinear jump-diffusion stochastic differential equations (SDEs). The importance of this research is that the underlying process does not enjoy from globally Lipschitz condition and we consider the drift term as one-sided Lipschitz and the payoff function as only locally Lipschitz. We also confirm these theoretical results by numerical experiment for the jump-diffusion process.
پژوهشگران	آزاده قاسمی فرد (نفر اول)، مهدیه طهماسبی (نفر دوم)