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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 Stratonovich Stochastic Integrals

Author(s):

Konstantin 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, a representation of multiple Stratonovich stochastic integrals by Wiener processes in the form of orthogonal series is proposed. Multiple Stratonovich stochastic integrals is also represented as the sum of multiple Ito stochastic integrals and the mathematical expectation of the Stratonovich integral, i.e., the generalized Hu-Meyer formula is obtained.

Keywords

References:

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