The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series

zbMath1457.60082arXiv2006.16040MaRDI QIDQ3305757

D. F. Kuznetsov

Publication date: 12 August 2020

Full work available at URL: https://arxiv.org/abs/2006.16040

zbMATH Keywords

expansionLegendre polynomialsmean-square convergenceParseval equalitymultiple trigonometric Fourier seriesconvergence with probability 1generalized multiple Fourier seriesconvergence in mean of arbitrary degreeiterated Itô stochastic integralmultiple Fourier-Legendre series

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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Cites Work

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