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<p>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.</p>

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

  • 期刊论文

  • 发表日期：

    2025年10月20日

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  • Hoang-Viet Nguyen,
  • Trung-Thuy Kieu,
  • Duc-Trong Luong,
  • Hoang-Long Ngo,
  • Ngoc Khue Tran

摘要

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.