On the simulation of iterated Itô integrals
We consider algorithms for simulation of iterated Itô integrals with application to simulation of stochastic differential equations. The fact that the iterated Itô integral I_{ij}(t_n,t_n+h)=\int_{t_n}^{t_n+h} \int_{t_n}^{s} dW_{i}(u)dW_{j}(s) conditioned on W_i(t_n+h)-W_i(t_n) and W_j(t_n+h)-W_j(t_n), has an infinitely divisible distribution is utilised for the simultaneous simulation of $I_{ij}(
