Multilevel particle filters for Lévy-driven stochastic differential equations

Jasra, Ajay; Law, Kody J. H.; Osei, Prince Peprah

doi:10.1007/s11222-018-9837-z

Title: Multilevel particle filters for Lévy-driven stochastic differential equations

Journal Article · Sat Oct 20 00:00:00 UTC 2018 · Statistics and Computing

DOI: https://doi.org/10.1007/s11222-018-9837-z · OSTI ID:1619441

Jasra, Ajay;

; Osei, Prince Peprah

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Sponsoring Organization:: USDOE

OSTI ID:: 1619441

Journal Information:: Statistics and Computing, Journal Name: Statistics and Computing Journal Issue: 4 Vol. 29; ISSN 0960-3174

Publisher:: Springer Science + Business MediaCopyright Statement

Country of Publication:: Germany

Language:: English

References (18)

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Sequential Monte Carlo Methods in Practice Doucet, Arnaud; Freitas, Nando; Gordon, Neil https://doi.org/10.1007/978-1-4757-3437-9	book	January 2001
Numerical Solution of Stochastic Differential Equations Kloeden, Peter E.; Platen, Eckhard Springer Berlin, Heidelberg https://doi.org/10.1007/978-3-662-12616-5	book	January 1992
Multilevel particle filters: normalizing constant estimation Jasra, Ajay; Kamatani, Kengo; Osei, Prince Peprah Statistics and Computing, Vol. 28, Issue 1 https://doi.org/10.1007/s11222-016-9715-5	journal	November 2016
On coupling particle filter trajectories Sen, Deborshee; Thiery, Alexandre H.; Jasra, Ajay Statistics and Computing, Vol. 28, Issue 2 https://doi.org/10.1007/s11222-017-9740-z	journal	March 2017
Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process Rubenthaler, Sylvain Stochastic Processes and their Applications, Vol. 103, Issue 2 https://doi.org/10.1016/S0304-4149(02)00191-6	journal	February 2003
The approximate Euler method for Lévy driven stochastic differential equations Jacod, J.; Kurtz, T.; Meleard, S. Annales de l'Institut Henri Poincare (B) Probability and Statistics, Vol. 41, Issue 3 https://doi.org/10.1016/j.anihpb.2004.01.007	journal	May 2005
A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations Dereich, Steffen; Heidenreich, Felix Stochastic Processes and their Applications, Vol. 121, Issue 7 https://doi.org/10.1016/j.spa.2011.03.015	journal	July 2011
Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation Ferreiro-Castilla, A.; Kyprianou, A. E.; Scheichl, R. Stochastic Processes and their Applications, Vol. 124, Issue 2 https://doi.org/10.1016/j.spa.2013.09.015	journal	February 2014
Sequential Monte Carlo Methods for Option Pricing Jasra, Ajay; Del Moral, Pierre Stochastic Analysis and Applications, Vol. 29, Issue 2 https://doi.org/10.1080/07362994.2011.548993	journal	February 2011
The Variance Gamma (V.G.) Model for Share Market Returns Madan, Dilip B.; Seneta, Eugene The Journal of Business, Vol. 63, Issue 4 https://doi.org/10.1086/296519	journal	January 1990
Sequential Monte Carlo methods for diffusion processes Jasra, Ajay; Doucet, Arnaud Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, Vol. 465, Issue 2112 https://doi.org/10.1098/rspa.2009.0206	journal	September 2009
Multilevel Particle Filters Jasra, Ajay; Kamatani, Kengo; Law, Kody J. H. SIAM Journal on Numerical Analysis, Vol. 55, Issue 6 https://doi.org/10.1137/17M1111553	journal	January 2017
Multilevel Monte Carlo for Smoothing via Transport Methods Houssineau, Jeremie; Jasra, Ajay; Singh, Sumeetpal S. SIAM Journal on Scientific Computing, Vol. 40, Issue 4 https://doi.org/10.1137/17M1156071	journal	January 2018
Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction Dereich, Steffen The Annals of Applied Probability, Vol. 21, Issue 1 https://doi.org/10.1214/10-AAP695	journal	February 2011
Approximations of small jumps of Lévy processes with a view towards simulation Asmussen, Søren; Rosiński, Jan Journal of Applied Probability, Vol. 38, Issue 2 https://doi.org/10.1239/jap/996986757	journal	June 2001
Multilevel Monte Carlo Path Simulation Giles, Michael B. Operations Research, Vol. 56, Issue 3 https://doi.org/10.1287/opre.1070.0496	journal	June 2008

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