An analysis of approximation algorithms for iterated stochastic integrals and a Julia and MATLAB simulation toolbox
CC BY
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s11075-022-01401-z https://dlib.phenikaa-uni.edu.vn/handle/PNK/8320 |
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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 |