Rydén, Tobias; Wiktorsson, Magnus - In: Stochastic Processes and their Applications 91 (2001) 1, pp. 151-168
We consider algorithms for simulation of iterated Itô integrals with application to simulation of stochastic differential equations. The fact that the iterated Itô integralconditioned on Wi(tn+h)-Wi(tn) and Wj(tn+h)-Wj(tn), has an infinitely divisible distribution utilised for the simultaneous...