scientific article; zbMATH DE number 7627965

MaRDI QIDQ5056183zbMATH OpenFDO

Authors D. F. Kuznetsov

Publication date 7 December 2022

Full work available at URL https://diffjournal.spbu.ru/EN/numbers/2022.2/article.1.6.html

zbMATH Keywords

expansiongeneralized multiple Fourier seriesiterated Itô stochastic integraliterated Stratonovich stochastic integralItô stochastic differential equationmean-square convergencemultiple Fourier-Legendre seriesmultiple trigonometric Fourier series

Mathematics Subject Classification ID

Fourier series and coefficients in several variables (42B05) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Stochastic integrals (60H05)

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Cited in

(12)

• Expansion of the Stratonovich multiple stochastic integrals based on the Fourier multiple series
• The proof of convergence with probability 1 in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series
• Expansion of multiple Stratonovich stochastic integrals of second multiplicity, based on double Fourier-Legendre series summarized by Prinsheim method
• Approximation of iterated Ito stochastic integrals of the second multiplicity based on the Wiener process expansion using Legendre polynomials and trigonometric functions
• Applying spectral form of mathematical description for representation of iterated stochastic integrals
• Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
• scientific article; zbMATH DE number 7644507 (Why is no real title available?)
• Features of the expansion of multiple stochastic Stratonovich integrals using Walsh and Haar functions
• 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
• A new proof of the expansion of iterated Itô stochastic integrals with respect to the components of a multidimensional Wiener process based on generalized multiple Fourier series and Hermite polynomials
• A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space
• A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space. II

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• SDE-MATH

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