On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion (Q5073873)
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scientific article; zbMATH DE number 7517485
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion |
scientific article; zbMATH DE number 7517485 |
Statements
On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion (English)
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4 May 2022
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iterated stochastic integral
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Lévy area
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Brownian motion
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Fourier series
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\(L^p\)-approximation
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stochastic simulation
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