Corpus ID: 216477029

Mean-Square Approximation of Iterated Ito and Stratonovich Stochastic Integrals of Multiplicities 1 to 6 from the Taylor-Ito and Taylor-Stratonovich Expansions Using Legendre Polynomials.

@article{Kuznetsov2017MeanSquareAO,
  title={Mean-Square Approximation of Iterated Ito and Stratonovich Stochastic Integrals of Multiplicities 1 to 6 from the Taylor-Ito and Taylor-Stratonovich Expansions Using Legendre Polynomials.},
  author={D. Kuznetsov},
  journal={arXiv: Probability},
  year={2017}
}
The article is devoted to the practical material on expansions and mean-square approximations of specific iterated Ito and Stratonovich stochastic integrals of multiplicities 1 to 6 with respect to components of the multidimensional Wiener process on the base of the method of generalized multiple Fourier series. More precisely, we used the multiple Fourier--Legendre series converging in the sense of norm in the space $L_2([t, T]^k)$ $(k=1,\ldots,6)$ for approximation of iterated Ito and… Expand
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