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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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Orthogonal Expansion of Multiple Ito Stochastic Integrals

Author(s):

Konstantin Alexandrovich Rybakov

Moscow Aviation Institute (National Research University)

rkoffice@mail.ru

Abstract:

Based on the properties of Hermite polynomials, which are orthogonal with respect to the probability density of the normal distribution, and Charlier polynomials, which are orthogonal with respect to the Poisson distribution, a representation of multiple Ito stochastic integrals by Wiener and Poisson processes in the form of orthogonal series is proposed.

Keywords

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