scientific article; zbMATH DE number 3923793

MaRDI QIDQ3698003zbMATH OpenFDO

Authors J. M. C. Clark

Publication date 1985

zbMATH Keywords

discretization of stochastic integralsrate of convergence

Mathematics Subject Classification ID

Stochastic integrals (60H05) Probabilistic methods, stochastic differential equations (65C99) Numerical quadrature and cubature formulas (65D32)

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(7)

• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• scientific article; zbMATH DE number 1031933 (Why is no real title available?)
• Efficient discretization of stochastic integrals
• Model-adaptive optimal discretization of stochastic integrals
• Approximation of triple stochastic integrals through region subdivision
• On estimation of L^p-errors of Itô-Riemann-type numerical quadratures for stochastic integrals along Wiener paths
• Convergence of trapezoid rule to rough integrals

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