Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity Based on Generalized Iterated Fourier Series Converging Pointwise
Year: 2018
Type: preprint
Abstract: The article is devoted to the expansion of iterated Stratonovich stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ based on the generalized iterated Fourier series converging pointwise. The case of Fourier-Legendre series as well as the case of trigonometric Fourier series are considered in details. The obtained expansion provides a possibility to represent the iterated Stratonovich stochastic integral in the form of iterated series of products of standard Gaussian random variables. Convergence in the mean of degree $2n$ $(n\in \mathbb{N})$ of the expansion is proved. Some recent results on the expansion of iterated Stratonovich stochastic integrals of multiplicities 3 to 6 are given. The results of the article can be applied to the numerical solution of Ito stochastic differential equations.
Source: arXiv (Cornell University)
Author: Kuznetsov, Dmitriy F.
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2782166265