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. 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

Analytic Evaluation of Four-Particle Integrals with Complex Parameters

The method for analytic evaluation of four-particle integrals, proposed by Fromm and Hill, is generalized to include complex exponential parameters. An original procedure of numerical branch tracking for multiple valued functions is developed. It allows high precision variational solution of the Coulomb four-body problem in a basis of exponential-trigonometric functions of interparticle separations. Numerical results demonstrate high efficiency and versatility of the new method.Comment: 13 pages, 4 figure

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

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

Properties of generalized univariate hypergeometric functions

Based on Spiridonov's analysis of elliptic generalizations of the Gauss hypergeometric function, we develop a common framework for 7-parameter families of generalized elliptic, hyperbolic and trigonometric univariate hypergeometric functions. In each case we derive the symmetries of the generalized hypergeometric function under the Weyl group of type E_7 (elliptic, hyperbolic) and of type E_6 (trigonometric) using the appropriate versions of the Nassrallah-Rahman beta integral, and we derive contiguous relations using fundamental addition formulas for theta and sine functions. The top level degenerations of the hyperbolic and trigonometric hypergeometric functions are identified with Ruijsenaars' relativistic hypergeometric function and the Askey-Wilson function, respectively. We show that the degeneration process yields various new and known identities for hyperbolic and trigonometric special functions. We also describe an intimate connection between the hyperbolic and trigonometric theory, which yields an expression of the hyperbolic hypergeometric function as an explicit bilinear sum in trigonometric hypergeometric functions.Comment: 46 page

Limits of elliptic hypergeometric integrals

In math.QA/0309252, the author proved a number of multivariate elliptic hypergeometric integrals. The purpose of the present note is to explore more carefully the various limiting cases (hyperbolic, trigonometric, rational, and classical) that exist. In particular, we show (using some new estimates of generalized gamma functions) that the hyperbolic integrals (previously treated as purely formal limits) are indeed limiting cases. We also obtain a number of new trigonometric (q-hypergeometric) integral identities as limits from the elliptic level.Comment: 41 pages LaTeX. Minor stylistic changes, statement of Theorem 4.7 fixe