On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals

Publication date: 14 February 2020

Abstract: Given

{W^{(m)} (t), t i n [0, T]}_{m g e 1}

a sequence of approximations to a standard Brownian motion

W

in

[0, T]

such that

W^{(m)} (t)

converges almost surely to

W (t)

we show that, under regular conditions on the approximations, the multiple ordinary integrals with respect to

d W^{(m)}

converge to the multiple Stratonovich integral. We are integrating functions of the type

f(x_1,ldots,x_n)=f_1(x_1)ldots f_n(x_n) I_{{x_1le ldots le x_n}},

where for each

i i n 1, l d o t s, n

,

f_{i}

has continuous derivatives in

[0, T] .

We apply this result to approximations obtained from uniform transport processes.

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