. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of … the Lévy noise analysis …

integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential … integrals terms at the initial time of the simulation along with the solution of the stochastic integrals which is found in … terms of Hermite polynomials and variance of the integrals. We apply the method of iterated integrals to simulation of …

We develop a weak exact simulation technique for a process X defined by a multi-dimensional stochastic differential … equation (SDE). Namely, for a Lipschitz function g, we propose a simulation based approximation of the expectation E[g(X_{t_1 … induced by Elworthy's formula from Malliavin calculus, as exploited by Fournié et al. for the simulation of the Greeks in …