Combined Method of Strong Approximation of Multiple Stochastic Integrals

Dmitriy F. Kuznetsov

doi:10.1615/JAutomatInfScien.v34.i8.40

Journal of Automation and Information Sciences

編集長: Arkadiy A. Chikriy (open in a new tab)

編集アソシエイトs: Vyacheslav F. Gubarev (open in a new tab) Yuriy P. Kondratenko (open in a new tab) Nonna V. Turovyerova (open in a new tab)

年間 12 号発行

ISSN 印刷: 1064-2315

ISSN オンライン: 2163-9337

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Combined Method of Strong Approximation of Multiple Stochastic Integrals

巻 34, 発行 8, 2002, 6 pages

DOI: 10.1615/JAutomatInfScien.v34.i8.40

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Dmitriy F. Kuznetsov
St. Peterburg State Technical University, Russia

要約

A method of mean square approximation of multiple stochastic integrals, which is a combination of methods based on multiple Fourier series and multiple integral sums, is developed. The mean square convergence of the method is investigated. The method with N = 2 is more economic, than the method of multiple Fourier series.

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