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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 1999 Volume 260, Pages 164–185 (Mi znsl1072)

This article is cited 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.

UDC: 519.2

Received: 11.02.1999


 English version:
Journal of Mathematical Sciences (New York), 2002, 109:6, 2148–2165

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