On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion

DOI10.1080/07362994.2021.1922291zbMath1491.60076arXiv2101.09542OpenAlexW3169463964WikidataQ114100299 ScholiaQ114100299MaRDI QIDQ5073873

Jan Mrongowius, Andreas Rößler

Publication date: 4 May 2022

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.09542

zbMATH Keywords

Brownian motionFourier seriesstochastic simulationLévy area\(L^p\)-approximationiterated stochastic integral

Mathematics Subject Classification ID

Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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