A multilevel Monte Carlo algorithm for SDEs with jumps

A multilevel Monte Carlo algorithm for SDEs with jumps

The multilevel Monte Carlo algorithm is an extension of the traditional Monte Carlo algorithm. It is a numerical method, which allows us to approximate the expected value of a random variable X. We use some appropriate discretization method to obtain approximations X_1, X_2, ... ,X_L of X such that...

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Bibliographic Details
Main Author: Rantala, Johanna
Other Authors: Matemaattis-luonnontieteellinen tiedekunta, Faculty of Sciences, Matematiikan ja tilastotieteen laitos, Department of Mathematics and Statistics, Jyväskylän yliopisto, University of Jyväskylä
Format: Master's thesis
Language:eng
Published: 2019
Subjects:
Stokastiikka ja todennäköisyysteoria
Stochastics and Probability
4041
differentiaaliyhtälöt
stokastiset prosessit
algoritmit
differential equations
stochastic processes
algorithms
Online Access: https://jyx.jyu.fi/handle/123456789/63681

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