References

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Mrongowius & Rößler, 2021

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Stochastic Analysis and Applications (2021), pp. 1–29. arXiv: 2101.09542. DOI: 10.1080/07362994.2021.1922291.

Wiktorsson, 2001

Wiktorsson, M., "Joint Characteristic Function and Simultaneous Simulation of Iterated Itô Integrals for Multiple Independent Brownian Motions."

The Annals of Applied Probability 11.2 (2001), pp. 470-487. DOI: 10.1214/aoap/1015345301.