Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
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Publication:1872461
DOI10.1214/AOAP/1015345301zbMath1019.60053OpenAlexW1978024676MaRDI QIDQ1872461
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1015345301
numerical approximationmultidimensional stochastic differential equationvariance mixtureiterated Itô integral
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
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