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Zapiski Nauchnykh Seminarov POMI, 1999, Volume 260, Pages 164–185
(Mi znsl1072)
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This article is cited in 8 scientific papers (total in 8 papers)
An expansion of multilpe Stratonovich stochastic integrals, based on multiple Fourier expansion
D. F. Kuznetsov Saint-Petersburg State Polytechnical University
Abstract:
The expansion of multiple Stratonovich stochastic integrals of multiplicity $k$; $k\in N$ into multiple series of
products of Gaussian random values is stated and proved. The coefficients of this expansion are the coefficients
of multiple Fourier expansion of the function of several variables on full orthonormal systems in space $L_2([t,T])$. For expansion the convergence in mean of order $n$; $n\in N$ is proved. Some expansions of multiple Stratonovich stochastic integrals with the help of polynomial and trigonometric systems are considered.
Received: 11.02.1999
Citation:
D. F. Kuznetsov, “An expansion of multilpe Stratonovich stochastic integrals, based on multiple Fourier expansion”, Probability and statistics. Part 3, Zap. Nauchn. Sem. POMI, 260, POMI, St. Petersburg, 1999, 164–185; J. Math. Sci. (New York), 109:6 (2002), 2148–2165
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https://www.mathnet.ru/eng/znsl1072 https://www.mathnet.ru/eng/znsl/v260/p164
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Abstract page: | 298 | Full-text PDF : | 77 |
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