Item Infomation
Title: | An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox |
Authors: | Felix, Kastner Andreas, Rößler |
Issue Date: | 2023 |
Publisher: | Springer |
Abstract: | For the approximation and simulation of twofold iterated stochastic integrals and the corresponding Lévy areas w.r.t. a multi-dimensional Wiener process, we review four algorithms based on a Fourier series approach. Especially, the very efficient algorithm due to Wiktorsson and a newly proposed algorithm due to Mrongowius and Rößler are considered. To put recent advances into context, we analyse the four Fourier-based algorithms in a unified framework to highlight differences and similarities in their derivation. A comparison of theoretical properties is complemented by a numerical simulation that reveals the order of convergence for each algorithm. |
Description: | CC BY |
URI: | https://link.springer.com/article/10.1007/s11075-022-01401-z https://dlib.phenikaa-uni.edu.vn/handle/PNK/8320 |
Appears in Collections | OER - Công nghệ thông tin |
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