Multiple stochastic integrals with Mathematica
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DOI: 10.1016/j.matcom.2008.08.005
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References listed on IDEAS
- P. E. Kloeden & Eckhard Platen, 1991. "Relations between multiple ito and stratonovich integrals," Published Paper Series 1991-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- P. E. Kloeden & Eckhard Platen & I. W. Wright, 1992. "The approximation of multiple stochastic integrals," Published Paper Series 1992-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Gaines, J.G., 1995. "A basis for iterated stochastic integrals," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 7-11.
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Cited by:
- Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
- Soheili, Ali R. & Amini, Mohammad & Soleymani, Fazlollah, 2019. "A family of Chaplygin-type solvers for Itô stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 340(C), pages 296-304.
- Chenxu Li & Yu An & Dachuan Chen & Qi Lin & Nian Si, 2016. "Efficient computation of the likelihood expansions for diffusion models," IISE Transactions, Taylor & Francis Journals, vol. 48(12), pages 1156-1171, December.
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Keywords
Stochastic differential equations; Multiple Itô integrals; Multiple Stratonovich integrals; Expectation; Mathematica;All these keywords.
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