An Approximation of the Ito and Stratonovich Stochastic Integrals by Elements of a Direct Product of Algebras of Generalized Random Processes (Q4384403)

Let \(\overline B(t,\omega)=(B^1(t,\omega),\dots,B^r(t,\omega))\) be a standard \(r\)-dimensional \({\mathcal F}_t\)-Brownian motion on a complete probability space, \(t\in T=[0,a]\), and let \(u\) be a real bounded \(C^1\) function with bounded derivatives on \(\mathbb{R}^r\). Denote by \(\int_0^t u(\overline B(s,\omega)) dB^i(s,\omega)\) the Itô stochastic integral. The following inequality is proved: \[ \begin{multlined}\sup_{t\in T}\Biggl\{ \sum_{k=1}^p\sum_{i=1}^r u_n(\overline B_n(t_{k-1},\omega))[B_n^i(t_k,\omega)-B_n^i(t_{k-1},\omega)]- \sum_{i=1}^r\int_0^t u(\overline B(s,\omega)) dB^i(s,\omega)\Biggr\}^2\\ \leq \frac{Cm}{n}+C\lambda_m\end{multlined} \] if \(1/n<\min_{1\leq k\leq m} (t_k-t_{k-1})\), where \(\lambda_m:=\max_{1\leq k\leq m} (t_k-t_{k-1})\), \(C\) is a constant and the sequences \(u_n\) and \(\overline B_n\) are any representatives of convenient elements \(\widetilde u\) and \(\widetilde B\) of an algebra of generalized functions and of random processes, respectively, defined by \textit{N. V. Lazakovich} [Dokl. Akad. Nauk Belarusi 38, No. 5, 23-27 (1994; Zbl 0815.60036)]. Similar approximations are obtained for the Stratonovich multidimensional integral and for the sum of an Itô and a Stratonovich stochastic integral.