Corpus ID: 54897946

Expansion of Multiple Stochastic Integrals According to Martingale Poisson Measures and According to Martingales, Based on Generalized Multiple Fourier Series

@article{Kuznetsov2018ExpansionOM,
  title={Expansion of Multiple Stochastic Integrals According to Martingale Poisson Measures and According to Martingales, Based on Generalized Multiple Fourier Series},
  author={D. Kuznetsov},
  journal={arXiv: Probability},
  year={2018}
}
In the article we consider some versions of the approach to expansion of multiple Ito stochastic integrals of arbitrary multiplicity, based on generalized multiple Fourier series. The expansion of multiple stochastic integrals according to martingale Poisson measures is obtained. For the multiple stochastic integrals according to martingales we have proven two theorems. The first theorem is the generalization of expansion of multiple Ito stochastic integrals of arbitrary multiplicity, based on… Expand
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