Stratonovich integral and trace

DOI10.1080/17442509008833614MaRDI QIDQ3486599zbMATH OpenOpenAlexFDO

Authors Josép Lluis Solé, Frederic Utzet

Publication date 1990

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509008833614

zbMATH Keywords

Stratonovich integralmultiparameter processesextended Stratonovich stochastic integralMalliavin derivatives of multiple Wiener-Ito decompositions

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

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• Henstock's multiple Wiener integral and Henstock's version of Hu-Meyer theorem
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• On the convergence to the multiple Wiener-Itô integral
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• Weak convergence to the multiple Stratonovich integral.
• Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
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