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...