Optimal Approximation of the Second Iterated Integral of Brownian Motion
Brownian motionEuler-Maruyama methodGaussian Hilbert spaceItô diffusionKarhunen-Loéve expansionsecond iterated integralstochastic differential equationsstrong convergenceWiener chaos decompositionWiener process
Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Brownian motion (60J65) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17)
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