A Multi-level Monte Carlo simulation for invariant distribution of Markovian switching Lévy-driven SDEs with super-linearly growth coefficients

Hoang-Viet Nguyen, Trung-Thuy Kieu, Duc-Trong Luong +2

This paper concerns the numerical approximation for the invariant distribution of Markovian switching Lévy-driven stochastic differential equations. By combining the tamed-adaptive…