solidot新版网站常见问题,请点击这里查看。

Expansion of Multiple Stratonovich Stochastic Integrals of Fifth Multiplicity, Based on Generalized Multiple Fourier Series. (arXiv:1802.00643v1 [math.PR])

来源于:arXiv
This article is devoted to the expansion of multiple Stratonovich stochastic integrals of fifth multiplicity, based on the method of generalized multiple Fourier series. We consider the expansion of multiple Ito stochastic integrals of fifth multiplicity (based on generalized multiple Fourier series) as the tool of the proof of the expansion for multiple Stratonovich stochastic integrals. As it turned out, expansions of multiple Stratonovich stochastic integrals are essentially simpler than expansions of multiple Ito stochastic integrals. The multiple Stratonovich stochastic integrals are the part of the Taylor-Stratonovich expansion. That is why the results of the article can be useful for numerical integrations of Ito or Stratonovich stochastic differential equations. 查看全文>>