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math.PR2021
Asymptotic behavior of the multilevel type error for SDEs driven by a pure jump Lévy process
Mohamed Ben Alaya, Ahmed Kebaier, Thi Bao Tram Ngo
Motivated by the multilevel Monte Carlo method introduced by Giles [5], we study the asymptotic behavior of the normalized error process where and $X^{n…
math.PR2021★ 7 cited
Approximation of Stochastic Volterra Equations with kernels of completely monotone type
Aurélien Alfonsi, Ahmed Kebaier
In this work, we develop a multifactor approximation for -dimensional Stochastic Volterra Equations (SVE) with Lipschitz coefficients and kernels of completely monotone type tha…