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Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
1 references·5 citing·21 second hop
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References

  • 2016Numerical solution of stochastic differential equations5,001 cited

Cited by

  • 2014Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation109 cited
  • 2021First-order convergence of Milstein schemes for McKean–Vlasov equations and interacting particle systems40 cited
  • 2017Expansion of Iterated Ito Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Multiple Fourier Series Converging in the Mean32 cited
  • 2018Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Iterated Fourier Series Converging Pointwise28 cited
  • 2023Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients24 cited

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