Abstract
Methods for the simulations and approximation of stochastic integrals are given for Wiener processes, Ornstein-Uhlenbeck processes, fractional Brownian motions and Poisson processes. A method for calculating a finer approximation of the same sample path of a Winer process based on the Lévy construction is presented.
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© 2017 Springer Nature Singapore Pte Ltd.
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Han, X., Kloeden, P.E. (2017). Stochastic Integrals: Simulation and Approximation. In: Random Ordinary Differential Equations and Their Numerical Solution. Probability Theory and Stochastic Modelling, vol 85. Springer, Singapore. https://doi.org/10.1007/978-981-10-6265-0_14
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DOI: https://doi.org/10.1007/978-981-10-6265-0_14
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Publisher Name: Springer, Singapore
Print ISBN: 978-981-10-6264-3
Online ISBN: 978-981-10-6265-0
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