Corpus ID: 119652930

New Representation of Levy Stochastic Area, Based on Legendre polynomials

@article{Kuznetsov2018NewRO,
  title={New Representation of Levy Stochastic Area, Based on Legendre polynomials},
  author={D. Kuznetsov},
  journal={arXiv: Probability},
  year={2018}
}
The article is devoted to obtainment a new representation of Levy stochastic area, based on Legengre polynomials. We use expansion of multiple Ito stochastic integrals, based on multiple Fourier-Legendre series converging in the mean. The mentioned new representation of Levy stochastic area has more simple form in comparison with the classical representation of Levy stochastic area. 
1 Citations
New Simple Method of Expansion of Iterated Ito Stochastic integrals of Multiplicity 2 Based on Expansion of the Brownian Motion Using Legendre Polynomials and Trigonometric Functions.
The atricle is devoted to the new simple method for obtainment an expansion of iterated Ito stochastic integrals of multiplicity 2 based on expansion of the Brownian motion (standard Wiener process)Expand

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