A Multi-level Monte Carlo Simulation for Invariant Distribution of Markovian Switching Lévy-Driven SDEs with Super-Linearly Growth Coefficients

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 t...

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Veröffentlicht in:	Methodology and computing in applied probability Jg. 27; H. 4; S. 79
Hauptverfasser:	Nguyen, Hoang-Viet, Kieu, Trung-Thuy, Luong, Duc-Trong, Ngo, Hoang-Long, Tran, Ngoc Khue
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	New York Springer US 01.12.2025 Springer Nature B.V
Schlagworte:	Approximation Business and Management Differential equations Diffusion coefficient Economics Electrical Engineering Invariants Life Sciences Mathematics and Statistics Monte Carlo simulation Numerical analysis Partial differential equations Statistics Super-linearly growth coefficient Tamed-adaptive Euler-Maruyama scheme 60H10 65C30 Invariant measure Multi-level Monte-Carlo Markovian switching
ISSN:	1387-5841, 1573-7713
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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.
AbstractList	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.
ArticleNumber	79
Author	Ngo, Hoang-Long Kieu, Trung-Thuy Nguyen, Hoang-Viet Luong, Duc-Trong Tran, Ngoc Khue
Author_xml	– sequence: 1 givenname: Hoang-Viet surname: Nguyen fullname: Nguyen, Hoang-Viet organization: Hanoi National University of Education – sequence: 2 givenname: Trung-Thuy surname: Kieu fullname: Kieu, Trung-Thuy organization: Hanoi National University of Education – sequence: 3 givenname: Duc-Trong surname: Luong fullname: Luong, Duc-Trong email: trongld@hnue.edu.vn organization: Hanoi National University of Education – sequence: 4 givenname: Hoang-Long surname: Ngo fullname: Ngo, Hoang-Long organization: Hanoi National University of Education – sequence: 5 givenname: Ngoc Khue surname: Tran fullname: Tran, Ngoc Khue organization: Faculty of Mathematics and Informatics, Hanoi University of Science and Technology
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Cites_doi	10.3934/dcdsb.2017020 10.1214/19-AAP1507 10.1098/rspa.2010.0348 10.1080/03610918008833154 10.1287/opre.1070.0496 10.1016/j.cam.2015.09.035 10.1016/S0304-4149(02)00150-3 10.1137/050623279 10.1093/imanum/drl032 10.1137/151004872 10.1007/s40314-022-02015-w 10.1007/978-3-642-13694-8 10.1080/07362994.2021.1950551 10.1016/j.cam.2018.01.017 10.1214/15-AAP1140 10.1201/9780203485217 10.1007/978-3-662-06400-9 10.1007/978-3-662-05265-5 10.1198/073500102317351949 10.1214/ECP.v18-2824 10.1016/j.nahs.2018.04.003 10.1214/11-AAP803 10.1016/j.jmaa.2024.128982 10.1016/j.matcom.2003.09.001 10.1007/978-3-662-12616-5 10.1007/978-3-540-69826-5 10.1080/07362999008809220 10.1016/j.cam.2019.01.020
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SubjectTerms	Approximation Business and Management Differential equations Diffusion coefficient Economics Electrical Engineering Invariants Life Sciences Mathematics and Statistics Monte Carlo simulation Numerical analysis Partial differential equations Statistics
Title	A Multi-level Monte Carlo Simulation for Invariant Distribution of Markovian Switching Lévy-Driven SDEs with Super-Linearly Growth Coefficients
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