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

2024/11/06 by Hoang-Viet Nguyen, Trung-Thuy Kieu, Nguyen, Hoang-Viet +7
Economics, Econometrics and Finance · #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2411.04081

openalex publication_date 2024/11/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

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