Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
We consider all two times iterated Ito integrals obtained by pairing m independent standard Brownian motions. First we calculate the conditional joint characteristic function of these integrals, given the Brownian increments over the integration interval, and show that it has a form entirely similar to what is obtained in the univariate case. Then we propose an algorithm for the simultaneous simul
