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ISSN 1817-2172, рег. Эл. № ФС77-39410, ВАК

Differential Equations and Control Processes
(Differencialnie Uravnenia i Protsesy Upravlenia)

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The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series

Author(s):

Dmitriy Feliksovich Kuznetsov

Peter the Great Saint-Petersburg Polytechnic University
195251, Saint-Petersburg, Polytechnicheskaya ul., 29
Department of Higher Mathematics
Dr. Sci., Professor

sde_kuznetsov@inbox.ru

Abstract:

The article is devoted to the formulation and proof of the theorem on convergence with probability 1 of expansion of iterated Ito stochastic integrals of arbitrary multiplicity based on generalized multiple Fourier series converging in the sense of norm in Hilbert space. The cases of multiple Fourier-Legendre series and multiple trigonomertic Fourier series are considered in detail. The proof of the mentioned theorem is based on the general properties of multiple Fourier series as well as on the estimate for the fourth moment of approximation error in the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series.

Keywords

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