Multilevel path simulation for weak approximation schemes with application to Lévy-driven SDEs. Belomestny, D. & Nagapetyan, T. Bernoulli, 23(2):927–950, 2017.
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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