The truncated Euler-Maruyama method is employed together with the Multi-level Monte Carlo method to approximate expectations of some functions of solutions to stochastic differential equations (SDEs). The convergence rate and the computational cost of the approximations are proved, when the coefficients of SDEs satisfy the local Lipschitz and Khasminskii-type conditions. Numerical examples are provided to demonstrate the theoretical results.
- truncated Euler-Maruyama method
- stochastic differential equations
- non-linear coefficients
- approximation to expectation