Correcting Newton-Côtes integrals by Lévy areas

DOI10.3150/07-BEJ6015zbMath1132.60047arXivmath/0601544MaRDI QIDQ2469648

Ivan Nourdin, Thomas Simon

Publication date: 6 February 2008

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0601544

zbMATH Keywords

fractional Brownian motionLévy arearough differential equationNewton-Côtes integralsymmetric stochastic integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Numerical integration (65D30)

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