On the simulation of iterated Itô integrals

Stochastic Processes and their Applications

Volumn 91, Issue 1, 2001, Pages 151-168

  Rydén, Tobias ^a   Wiktorsson, Magnus ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

Class G distribution; Coupling; Infinitely divisible distribution; Iterated It integral; Multi dimensional stochastic differential equation; Numerical approximation; Primary 60H05; Secondary 60H10; Variance mixture

Indexed keywords

EID: 0007336796     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(00)00053-3     Document Type: Article

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