On the simulation of iterated Itô integrals. (Q1879510)
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scientific article; zbMATH DE number 2102365
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| English | On the simulation of iterated Itô integrals. |
scientific article; zbMATH DE number 2102365 |
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On the simulation of iterated Itô integrals. (English)
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22 September 2004
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The iterated Itô integrals \[ I_{ij}(t_n, t_n +h)=\int ^{t_n+h}_{t_n}\int _{t_n}^s\,dW_i(u)\,d W_j(s) \] are simulated by different methods simultaneously with \(W_i(t_n+h)-W_i(t_n)\) and \(W_j(t_n+h)-W_j(t_n)\). Mean-square convergence rates for approximations of shot-noise type and asymptotic normality of the remainders are established. A coupling method for the remainder is used to improve the convergence rate. The results are applied to simulation of SDEs.
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iterated Itô integral
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infinitely divisible distribution
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0.89058185
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0.87962025
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0.86994857
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0.8661357
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