Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series

@inproceedings{Kuznetsov2019ExpansionOI,
  title={Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series},
  author={D. Kuznetsov},
  year={2019}
}
The article is devoted to expansions of iterated Stratonovich stochastic integrals of multiplicities 1-4 on the base of the method of generalized multiple Fourier series. We prove the mean-square convergence of expansions in the case of Legendre polynomials as well as in the case of trigonometric functions. The considered expansions contain only one passage to the limit in contrast to its existing analogues. This property is very convenient for the mean-square approximation of iterated… Expand
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