IFSM Representation of Brownian Motion with Applications to Simulation

DOI10.1007/978-3-540-44446-6_10zbMath1130.60073arXivmath/0601379OpenAlexW2952053652MaRDI QIDQ5434321

Stefano Maria Iacus, Davide La Torre

Publication date: 4 January 2008

Published in: Math Everywhere (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0601379

zbMATH Keywords

stochastic differential equationsEuler schemeIFSM trajectoryiterated function systems with mapsKac-Siegert/Karnounen-Loeve series

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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