Development and Application of the Fourier Method to the Mean-Square Approximation of Iterated Ito and Stratonovich Stochastic Integrals

The article is devoted to the mean-square approximation of iterated Ito and Stratonovich stochastic integrals in the context of the numerical integration of Ito stochastic differential equations. The expansion of iterated Ito stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ and expansions of iterated Stratonovich stochastic integrals of multiplicities 1 to 5 have been obtained. Considerable attention is paid to expansions based on multiple Fourier-Legendre series. The exact and approximate expressions for the mean-square error of approximation of iterated Ito stochastic integrals are derived. The results of the article will be useful for numerical integration of Ito stochastic differential equations with non-commutative noise.Comment: 56 pages. Minor changes along the text in the whol

Expansion of Iterated Stratonovich Stochastic Integrals of Multiplicity 2. Combined Approach Based on Generalized Multiple and Iterated Fourier Series

The article is devoted to the expansion of iterated Stratonovich stochastic integrals of multiplicity 2 on the base of the combined approach of generalized multiple and iterated Fourier series. We consider two different parts of the expansion of iterated Stratonovich stochastic integrals. The mean-square convergence of the first part is proved on the base of generalized multiple Fourier series converging in the mean-square sense in the space $L_2([t, T]^2).$ The mean-square convergence of the second part is proved on the base of generalized iterated (double) Fourier series converging pointwise. At that, we prove the iterated limit transition for the second part of the expansion on the base of the classical theorems of mathematical analysis. The results of the article can be applied to the numerical integration of Ito stochastic differential equations.Comment: 18 pages. Sect. 3 was added. arXiv admin note: text overlap with arXiv:1801.05654, arXiv:1801.00784, arXiv:1801.01564, arXiv:1712.09746, arXiv:1801.03195, substantial text overlap with arXiv:1712.0951

The Hypotheses on Expansion of Iterated Stratonovich Stochastic Integrals of Arbitrary Multiplicity and Their Partial Proof

In this review article we collected more than ten theorems on expansions of iterated Ito and Stratonovich stochastic integrals, which have been formulated and proved by the author. These theorems open a new direction for study of iterated Ito and Stratonovich stochastic integrals. The expansions based on multiple and iterated Fourier-Legendre series as well as on multiple and iterated trigonomectic Fourier series converging in the mean and pointwise are presented in the article. Some of these theorems are connected with the iterated stochastic integrals of multiplicities 1 to 5. Also we consider two theorems on expansions of iterated Ito stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ based on generalized multiple Fourier series converging in the sense of norm in Hilbert space $L_2([t, T]^k)$ as well as two theorems on expansions of iterated Stratonovich stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ based on generalized iterated Fourier series converging pointwise. On the base of the presented theorems we formulate 3 hypotheses on expansions of iterated Stratonovich stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ based on generalized multiple Fourier series converging in the sense of norm in Hilbert space $L_2([t, T]^k).$ The mentioned iterated Stratonovich stochastic integrals are part of the Taylor-Stratonovich expansion. Moreover, the considered expansions from these 3 hypotheses contain only one operation of the limit transition and substantially simpler than their analogues for iterated Ito stochastic integrals. Therefore, the results of the article can be useful for the numerical integration of Ito stochastic differential equations. Also, the results of the article were reformulated in the form of theorems of the Wong-Zakai type for iterated Stratonovich stochastic integrals.Comment: 35 pages. Section 12 was added. arXiv admin note: text overlap with arXiv:1712.09516, arXiv:1712.08991, arXiv:1802.04844, arXiv:1801.00231, arXiv:1712.09746, arXiv:1801.0078

Expansions of Iterated Stratonovich Stochastic Integrals of Multiplicities 1 to 4 Based on Generalized Multiple Fourier Series

The article is devoted to the expansions of iterated Stratonovich stochastic integrals of multiplicities 1 to 4 on the basis of the method of generalized multiple Fourier series that are converge in the sense of norm in Hilbert space $L_2([t, T]^k),$ $k=1,2,3,4.$ Mean-square convergence of the expansions for the case of multiple Fourier-Legendre series and for the case of multiple trigonometric Fourier series is proved. The considered expansions contain only one operation of the limit transition in contrast to its existing analogues. This property is very important for the mean-square approximation of iterated stochastic integrals. The results of the article can be applied to numerical integration of Ito stochastic differential equations with multidimensional non-commutative noises.Comment: 50 pages. Sect. 6 is added. Minor changes along the article in the whole. arXiv admin note: text overlap with arXiv:1712.0899

Entropy computing via integration over fractal measures

We discuss the properties of invariant measures corresponding to iterated function systems (IFSs) with place-dependent probabilities and compute their Renyi entropies, generalized dimensions, and multifractal spectra. It is shown that with certain dynamical systems one can associate the corresponding IFSs in such a way that their generalized entropies are equal. This provides a new method of computing entropy for some classical and quantum dynamical systems. Numerical techniques are based on integration over the fractal measures.Comment: 14 pages in Latex, Revtex + 4 figures in .ps attached (revised version, new title, several changes, to appear in CHAOS

Finite element computation of a viscous compressible free shear flow governed by the time dependent Navier-Stokes equations

A finite element algorithm for solution of fluid flow problems characterized by the two-dimensional compressible Navier-Stokes equations was developed. The program is intended for viscous compressible high speed flow; hence, primitive variables are utilized. The physical solution was approximated by trial functions which at a fixed time are piecewise cubic on triangular elements. The Galerkin technique was employed to determine the finite-element model equations. A leapfrog time integration is used for marching asymptotically from initial to steady state, with iterated integrals evaluated by numerical quadratures. The nonsymmetric linear systems of equations governing time transition from step-to-step are solved using a rather economical block iterative triangular decomposition scheme. The concept was applied to the numerical computation of a free shear flow. Numerical results of the finite-element method are in excellent agreement with those obtained from a finite difference solution of the same problem

Expansions of Iterated Stratonovich Stochastic Integrals of Multiplicities 1 to 4. Combained Approach Based on Generalized Multiple and Iterated Fourier series

The article is devoted to the expansions of iterated Stratonovich stochastic integrals of multiplicities 1 to 4 on the base of the combined approach of generalized multiple and iterated Fourier series. We consider two different parts of the expansion of iterated Stratonovich stochastic integrals. The mean-square convergence of the first part is proved on the base of generalized multiple Fourier series that are converge in the sense of norm in Hilbert space $L_2([t, T]^k),$ $k=1,2,3,4.$ The mean-square convergence of the second part is proved on the base of generalized iterated Fourier series that are converge pointwise. At that, we do not use the iterated Ito stochastic integrals as a tool of the proof and directly consider the iterated Stratonovich stochastic integrals. The cases of multiple Fourier-Legendre series and multiple trigonometric Fourier series are considered in detail. The considered expansions contain only one operation of the limit transition in contrast to its existing analogues. This property is very important for the mean-square approximation of iterated stochastic integrals. The results of the article can be applied to the numerical integration of Ito stochastic differential equations.Comment: 40 pages. Sect.7 was added. arXiv admin note: text overlap with arXiv:1712.09746, arXiv:1801.00231, arXiv:1801.03195, arXiv:1712.09516, arXiv:1801.06501, arXiv:1712.0899

Comparative Analysis of the Efficiency of Application of Legendre Polynomials and Trigonometric Functions to the Numerical Integration of Ito Stochastic Differential Equations

The article is devoted to comparative analysis of the efficiency of application of Legendre polynomials and trigonometric functions to the numerical integration of Ito stochastic differential equations in the framework of the method of approximation of iterated Ito and Stratonovich stochastic integrals based on generalized multiple Fourier series. On the example of iterated Ito stochastic integrals of multiplicities 1 to 3, included in the Taylor-Ito expansion, it is shown that expansions of stochastic integrals based on Legendre polynomials are much easier and require significantly less computational costs compared to their analogues obtained using the trigonometric system of functions. The results of the article can be useful for construction of strong numerical methods for Ito stochastic differential equations.Comment: 25 pages. Some corrections in Sect. 5, 6. Minor changes along the text in the whole. arXiv admin note: substantial text overlap with arXiv:1801.08862, arXiv:1801.00231, arXiv:1807.02190, arXiv:1802.00643, arXiv:1806.1070