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

Abstract

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