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math.PR2021
On the Approximation and Simulation of Iterated Stochastic Integrals and the Corresponding Lévy Areas in Terms of a Multidimensional Brownian Motion
Jan Mrongowius, Andreas Rößler
A new algorithm for the approximation and simulation of twofold iterated stochastic integrals together with the corresponding Lévy areas driven by a multidimensional Brownian motio…
math.PR2020
A Derivative-Free Milstein Type Approximation Method for SPDEs covering the Non-Commutative Noise case
Claudine von Hallern, Andreas Rößler
Higher order schemes for stochastic partial differential equations that do not possess commutative noise require the simulation of iterated stochastic integrals. In this work, we p…
math.PR2019
An Analysis of the Milstein Scheme for SPDEs without a Commutative Noise Condition
Claudine von Hallern, Andreas Rößler
In order to approximate solutions of stochastic partial differential equations (SPDEs) that do not possess commutative noise, one has to simulate the involved iterated stochastic i…