Numerical Simulation of 2.5-Set of Iterated Stratonovich Stochastic Integrals of Multiplicities 1 to 5 From the Taylor-Stratonovich Expansion

@article{Kuznetsov2018NumericalSO,
  title={Numerical Simulation of 2.5-Set of Iterated Stratonovich Stochastic Integrals of Multiplicities 1 to 5 From the Taylor-Stratonovich Expansion},
  author={D. Kuznetsov},
  journal={arXiv: Probability},
  year={2018}
}
The article is devoted to construction of effective procedures of the mean-square approximation for iterated Stratonovich stochastic integrals of multiplicities 1 to 5. We apply the method of generalized multiple Fourier series for approximation of iterated stochastic integrals. More precisely, we use multiple Fourier-Legendre series converging in the sense of norm in Hilbert space $L_2([t,T]^k),$ $k=1,\ldots,5.$ Considered iterated Stratonovich stochastic integrals are part of the Taylor… Expand
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