Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions

Annals of Applied Probability

Volumn 11, Issue 2, 2001, Pages 470-487

  Wiktorsson, Magnus ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

Iterated it integral; Multidimensional stochastic differential equation; Numerical approximation; Variance mixture

Indexed keywords

EID: 0035538464     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1015345301     Document Type: Article

References (12)

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