collaborators

1 paper

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…