Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations

Figures & data

Table 1. Numerical results using the MLMC with the classic EM method.

l	1	2	3	4	5
${\hat{Y}}_l$	1.00	$2.59\mathrm{e}+102$	$-2.94\mathrm{e}+159$	–	–

Table 2. Numerical results using the MLMC with the truncated EM method.

l	1	2	3	4	5
${\hat{Y}}_l$	0.39	−0.18	−0.024	−0.003	−0.0006

Figure 1. Computational cost.