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Zapiski Nauchnykh Seminarov POMI, 1999, Volume 260, Pages 164–185 (Mi znsl1072)  

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
Full-text PDF (268 kB) Citations (8)
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
English version:
Journal of Mathematical Sciences (New York), 2002, Volume 109, Issue 6, Pages 2148–2165
DOI: https://doi.org/10.1023/A:1014581416903
Bibliographic databases:
UDC: 519.2
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Kuz99}
\by D.~F.~Kuznetsov
\paper An expansion of multilpe Stratonovich stochastic integrals, based on multiple Fourier expansion
\inbook Probability and statistics. Part~3
\serial Zap. Nauchn. Sem. POMI
\yr 1999
\vol 260
\pages 164--185
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl1072}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1759161}
\zmath{https://zbmath.org/?q=an:1001.60063}
\transl
\jour J. Math. Sci. (New York)
\yr 2002
\vol 109
\issue 6
\pages 2148--2165
\crossref{https://doi.org/10.1023/A:1014581416903}
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  • This publication is cited in the following 8 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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