Corpus ID: 209376690

Exact Calculation of the Mean-Square Error in the Method of Approximation of Iterated Ito Stochastic integrals, Based on Generalized Multiple Fourier Series

@article{Kuznetsov2018ExactCO,
  title={Exact Calculation of the Mean-Square Error in the Method of Approximation of Iterated Ito Stochastic integrals, Based on Generalized Multiple Fourier Series},
  author={D. Kuznetsov},
  journal={arXiv: Probability},
  year={2018}
}
The article is devoted to the developement of the method of expansion and mean-square approximation of iterated Ito stochastic integrals based on generalized multiple Fourier series converging in the sense of norm in the space $L_2([t, T]^k)$ ($k$ is the multiplicity of the iterated Ito stochastic integral). We obtain the exact and approximate expressions for the mean-square error of approximation of iterated Ito stochastic integrals of multiplicity $k$ ($k\in\mathbb{N}$) from the stochastic… Expand
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