Exact Calculation of the Mean-Square Error in the Method of Expansion of Iterated Ito Stochastic integrals Based on Generalized Multiple Fourier Series

Understand

The article is devoted to the developement of the method of expansion and mean-square approximation of iterated Ito stochastic integrals based on generalized multiple Fourier series converging in the sense of norm in the space $L_2([t, T]^k)$ ($k$ is the multiplicity of the iterated Ito stochastic integral).

• We obtain the exact and approximate expressions for the mean-square approximation error of iterated Ito stochastic integrals of multiplicity $k$ ($k\in\mathbb{N}$) from the stochastic Taylor-Ito expansion.
• As a result, we do not need to use redundant terms of expansions of iterated Ito stochastic integrals that complicate the numerical methods for Ito stochastic differential equations.
• Moreover, we proved the convergence with propability 1 for the method of expansion of iterated Ito stochastic integrals based on generalized multiple Fourier series for the cases of multiple Fourier-Legendre series and multiple trigonometric Fourier series.