Dereich, Steffen; Heidenreich, Felix - In: Stochastic Processes and their Applications 121 (2011) 7, pp. 1565-1587
This article introduces and analyzes multilevel Monte Carlo schemes for the evaluation of the expectation , where Y=(Yt)t[set membership, variant][0,1] is a solution of a stochastic differential equation driven by a Lévy process. Upper bounds are provided for the worst case error over the class...