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A Monte Carlo algorithm for multiple stochastic integrals of stable processes
Stochastics and Dynamics ( IF 1.1 ) Pub Date : 2023-02-10 , DOI: 10.1142/s0219493722400391 Anirban Das 1 , Manfred Denker 2 , Anna Levina 3 , Lucia Tabacu 4
中文翻译:
稳定过程多重随机积分的蒙特卡洛算法
更新日期:2023-02-10
Stochastics and Dynamics ( IF 1.1 ) Pub Date : 2023-02-10 , DOI: 10.1142/s0219493722400391 Anirban Das 1 , Manfred Denker 2 , Anna Levina 3 , Lucia Tabacu 4
Affiliation
In this paper, we provide a Monte Carlo method to calculate multiple stochastic integrals which is based on a.s. distributional convergence.
中文翻译:
稳定过程多重随机积分的蒙特卡洛算法
在本文中,我们提供了一种基于分布收敛的蒙特卡罗方法来计算多个随机积分。