Multillevel Weiner-Hopf Monte Carlo and Euler-Poisson schemes for L\'evy processes

30 November 2012
16:00
Albert Ferreiro-Castilla
Abstract
In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of L\'evy processes that is based on the Wiener-Hopf decomposition. We pursue this idea further by combining their technique with the recently introduced multilevel Monte Carlo methodology. We also provide here a theoretical analysis of the new Monte Carlo simulation technique in Kuznetsov et al. (2011) and of its multilevel variant. We find that the rate of convergence is uniformly with respect to the ``jump activity'' (e.g. characterised by the Blumenthal-Getoor index).