The approximation of multiple stochastic integrals

P. E. Kloeden, Eckhard Platen () and I. W. Wright

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: A method for approximating the multiple stochastic integrals appearing in stochaslic Taylor expansions is proposed. It is based on a series expansion of the Brownian bridge process. Some higher order time discrete approximations for the simulation of Ito processes using these approximate multiple stochastic integrals arc also included.

Keywords: Multiple Stochastic Integral; stochaslic Differential Equations; Stochastic Taylor Formula; Time Discrete Approximation; Higher Order Strong Appproximation; Simulation Algorithms (search for similar items in EconPapers)
Pages: 11 pages
Date: 1992-01-01
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Published in: Kloeden, P., Platen, E. and Wright, I. A., 1992, "The Approximation Of Multiple Stochastic Integrals", Stochastic Analysis And Applications, 10(4), 431-441.

Downloads: (external link)
https://www.tandfonline.com/doi/abs/10.1080/07362999208809281 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:ppaper:1992-2

Access Statistics for this paper

More papers in Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().