Expansion of the Stratonovich Multiple Stochastic Integrals Based on the Fourier Multiple series |
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Authors: | D F Kuznetsov |
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Institution: | (1) St. Petersburg State Technical University, Russia |
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Abstract: | An expansion of multiple Stratonovich stochastic integrals of multiplicity
, 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
. The convergence in mean of order
, is established. Some expansions of multiple Stratonovich stochastic integrals with the help of polynomial and trigonometric systems are considered. Bibliography: 8 titles. |
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Keywords: | |
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