On the simulation of iterated Itô integrals

  title={On the simulation of iterated It{\^o} integrals},
  author={Tobias Ryd and Magnus Wiktorsson},
We consider algorithms for simulation of iterated Itô integrals with application to simulation of stochastic di erential equations. The fact that the iterated Itô integral Iij(tn; tn + h) = ∫ tn+h 
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