On the simulation of iterated Itô integrals

By Tobias Rydén, M. Wiktorsson. 2001

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A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems (2012, methodology): “Preprint submitted to Applied Numerical Mathematics February 20, 2012”
Characterization of bistability for stochastic multistep methods (2010, unknown): “We refer to [28, 33] for methods to approximate iterated stochastic integrals I ti α .”
Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (2012, methodology): “However, a weakness of the Milstein discretisation is that in multiple dimensions it generally requires the simulation of iterated Itô integrals known as Lévy areas, for which there is no known efficient method except in dimension 2 [4, 17, 18].”
Antithetic Multilevel Monte Carlo Estimation for Multidimensional SDEs (2013, methodology): “However, there is no method for simulating Lévy areas with a cost per timestep similar to that of Brownian increments, apart from in dimension 2 [2, 9, 10].”