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

A new algorithm for the approximation and simulation of twofold iterated stochastic integrals together with the corresponding Lévy areas driven by a multidimensional Brownian motion is proposed. The algorithm is based on a truncated Fourier series approach. However, the approximation of the remainde...

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Bibliographic Details

Published in:	Stochastic analysis and applications Vol. 40; no. 3; pp. 397 - 425
Main Authors:	Mrongowius, Jan, Rößler, Andreas
Format:	Journal Article
Language:	English
Published:	Philadelphia Taylor & Francis 04-05-2022 Taylor & Francis Ltd
Subjects:	Algorithms Approximation Brownian motion Covariance matrix Fourier series Integrals Iterated stochastic integral Lévy area Mathematical analysis stochastic simulation
Online Access:	Get full text
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