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Expansion of the Stratonovich Multiple Stochastic Integrals Based on the Fourier Multiple series
Authors:D F Kuznetsov
Institution:(1) St. Petersburg State Technical University, Russia
Abstract:An expansion of multiple Stratonovich stochastic integrals of multiplicity 
$$\user1{k,k} \in N$$
, into multiple series of products of Gaussian random variables is obtained. The coefficients of this expansion are the coefficients of multiple Fourier-series expansion of a function of several variables relative to a complete orthonormal system in the space 
$$\user1{L}_2 (\user1{t,T}])$$
. The convergence in mean of order 
$$\user1{n, n} \in \user1{N}$$
, is established. Some expansions of multiple Stratonovich stochastic integrals with the help of polynomial and trigonometric systems are considered. Bibliography: 8 titles.
Keywords:
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