Corpus ID: 195658214

Application of the Method of Approximation of Iterated Stochastic Ito Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations

@article{Kuznetsov2019ApplicationOT,
  title={Application of the Method of Approximation of Iterated Stochastic Ito Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations},
  author={D. Kuznetsov},
  journal={arXiv: General Mathematics},
  year={2019}
}
  • D. Kuznetsov
  • Published 2019
  • Mathematics
  • arXiv: General Mathematics
We consider a method for the approximation of iterated stochastic Ito integrals of arbitrary multiplicity $k$ $(k\in \mathbb{N})$ with respect to the infinite-dimensional Wiener process using the mean-square approximation method of iterated stochastic Ito integrals with respect to the finite-dimensional Wiener process based on generalized multiple Fourier series. The case of Fourier-Legendre series is considered in details. The results of the article can be applied to construction of high-order… Expand

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