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An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox

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Bibliographic Details
Main Authors: Felix, Kastner, Andreas, Rößler
Format: Book
Language:English
Published: Springer 2023
Subjects:
approximation algorithms
Julia and MATLAB simulation toolbox
Online Access:https://link.springer.com/article/10.1007/s11075-022-01401-z
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8320
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spelling oai:localhost:PNK-83202023-04-26T03:10:32Z An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox Felix, Kastner Andreas, Rößler approximation algorithms Julia and MATLAB simulation toolbox CC BY For the approximation and simulation of twofold iterated stochastic integrals and the corresponding Lévy areas w.r.t. a multi-dimensional Wiener process, we review four algorithms based on a Fourier series approach. Especially, the very efficient algorithm due to Wiktorsson and a newly proposed algorithm due to Mrongowius and Rößler are considered. To put recent advances into context, we analyse the four Fourier-based algorithms in a unified framework to highlight differences and similarities in their derivation. A comparison of theoretical properties is complemented by a numerical simulation that reveals the order of convergence for each algorithm. 2023-04-26T03:10:32Z 2023-04-26T03:10:32Z 2023 Book https://link.springer.com/article/10.1007/s11075-022-01401-z https://dlib.phenikaa-uni.edu.vn/handle/PNK/8320 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic approximation algorithms
Julia and MATLAB simulation toolbox
spellingShingle approximation algorithms
Julia and MATLAB simulation toolbox
Felix, Kastner
Andreas, Rößler
An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox
description CC BY
format Book
author Felix, Kastner
Andreas, Rößler
author_facet Felix, Kastner
Andreas, Rößler
author_sort Felix, Kastner
title An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox
title_short An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox
title_full An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox
title_fullStr An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox
title_full_unstemmed An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox
title_sort analysis of approximation algorithms for iterated stochastic integrals and a julia and matlab simulation toolbox
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s11075-022-01401-z
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8320
_version_ 1764268033958739968
score 8.891145

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