Joint characteristic function and simultaneous simulation of iterated Ito integrals for multiple independent Brownian motions
成果类型：
Article
署名作者：
Wiktorsson, M
署名单位：
Lund University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
2001
页码：
470-487
关键词：
摘要：
We consider all two-times iterated Ito integrals obtained by pairing nr independent standard Brownian motions, First we calculate the conditional joint characteristic function of these integrals, given the Brownian increments over the integration interval, and show that it has a form entirely similar to what is obtained in the univariate case. Then we propose an algorithm for the simultaneous simulation of the m(2) integrals conditioned on the Brownian increments that achieves a mean square error of order 1/n(2), where n is the number of terms in a truncated sum. The algorithm is based on approximation of the tail-sum distribution, which is a multivariate normal variance mixture, by a multivariate normal distribution.