On the Expectations of Multiple Stratonovich Integrals |
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| Authors: | A Tocino R Ardanuy |
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| Institution: | 1. Departamento de Matemáticas , Universidad de Salamanca , Salamanca , Spain bacon@usal.es;3. Departamento de Estadística , Universidad de Salamanca , Salamanca , Spain |
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| Abstract: | Abstract In the construction of numerical methods for solving stochastic differential equations it becomes necessary to calculate the expectations of products of multiple stochastic integrals. In the Itô case, explicit formulae for the expectation of a multiple integral with integrand identically equal to 1 and for the product of two such integrals are known. In this paper formulae for the expectation of any multiple Stratonovich integral as well as for the product of a broad class of two Stratonovich integrals have been derived. |
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| Keywords: | Expectation Multiple Stratonovich integrals Stochastic differential equations |
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