Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
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Publication:1872461
DOI10.1214/aoap/1015345301zbMath1019.60053MaRDI 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 approximation; multidimensional stochastic differential equation; variance mixture; iterated Itô integral
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H05: Stochastic integrals
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Cites Work
- On series representations of infinitely divisible random vectors
- On the simulation of iterated Itô integrals.
- Perks' distributions and their role in the theory of Wiener's stochastic variables
- Numerical Treatment of Stochastic Differential Equations
- The approximation of multiple stochastic integrals
- Approximate Integration of Stochastic Differential Equations
- Random Generation of Stochastic Area Integrals
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