A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space

zbMATH Open1541.60035MaRDI QIDQ6569007

D. F. Kuznetsov

Publication date: 8 July 2024

Published in: Differentsial'nye Uravneniya i Protsessy Upravleniya (Search for Journal in Brave)

zbMATH Keywords

expansionItô stochastic differential equationmean-square convergencemultidimensional Wiener processiterated Stratonovich stochastic integralgeneralized multiple Fourier seriesiterated Itô stochastic integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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