Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions

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

zbMATH Keywords

numerical approximation multidimensional stochastic differential equation variance mixture iterated Itô integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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