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Chebyshev approximation 1 Logistic expansion 1 Lévy area 1 Milstein method 1 Strong simulation 1
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Malham, Simon J.A. 1 Wiese, Anke 1
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Statistics & Probability Letters 1
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Efficient almost-exact Lévy area sampling
Malham, Simon J.A.; Wiese, Anke - In: Statistics & Probability Letters 88 (2014) C, pp. 50-55
We present a new method for sampling the Lévy area for a two-dimensional Wiener process conditioned on its endpoints. An efficient sampler for the Lévy area is required to implement a strong Milstein numerical scheme to approximate the solution of a stochastic differential equation driven by a...
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