Expansion of the Stratonovich multiple stochastic integrals based on the Fourier multiple series
type: Item
instance of: scholarly article
title: Expansion of the Stratonovich multiple stochastic integrals based on the Fourier multiple series
zbMATH Open document ID: 1001.60063
DOI: 10.1023/A:1014581416903
author: D. F. Kuznetsov
published in: Journal of Mathematical Sciences (New York)
publication date: 2002-06-25T00:00:00Z
review text: The paper presents an expansion of multiple Stratonovich stochastic random integrals into multiple series of products of Gaussian random variables. Multiple Fourier-series expansions are used to determine the coefficients of this expansion. The order of convergence is established.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 1759037
zbMATH Keywords: multiple stochastic integrals
zbMATH Keywords: Stratonovich-Taylor expansion
reviewed by: Eckhard Platen
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1759037