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A Monte Carlo algorithm for multiple stochastic integrals of stable processes.

Authors :
Das, Anirban
Denker, Manfred
Levina, Anna
Tabacu, Lucia
Source :
Stochastics & Dynamics. Dec2022, Vol. 22 Issue 8, p1-10. 10p.
Publication Year :
2022

Abstract

In this paper, we provide a Monte Carlo method to calculate multiple stochastic integrals which is based on a.s. distributional convergence. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*STOCHASTIC integrals
*MONTE Carlo method
*MALLIAVIN calculus
*ALGORITHMS

Details

Language :
English
ISSN :
02194937
Volume :
22
Issue :
8
Database :
Academic Search Index
Journal :
Stochastics & Dynamics
Publication Type :
Academic Journal
Accession number :
162416398
Full Text :
https://doi.org/10.1142/S0219493722400391
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