Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs. Belomestny, D. & Nagapetyan, T. Bernoulli, 23(2):927–950, 2017.
Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs [link]Paper  doi  bibtex   
@article {MR3606755,
    AUTHOR = {Belomestny, Denis and Nagapetyan, Tigran},
     TITLE = {Multilevel path simulation for weak approximation schemes with
              application to {L}\'{e}vy-driven {SDE}s},
   JOURNAL = {Bernoulli},
  FJOURNAL = {Bernoulli. Official Journal of the Bernoulli Society for
              Mathematical Statistics and Probability},
    VOLUME = {23},
      YEAR = {2017},
    NUMBER = {2},
     PAGES = {927--950},
      ISSN = {1350-7265},
   MRCLASS = {60H35 (60G51 60H10 60J75)},
  MRNUMBER = {3606755},
       DOI = {10.3150/15-BEJ764},
       URL = {https://doi.org/10.3150/15-BEJ764},
}

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