Expansion of Iterated Stratonovich Stochastic Integrals of Multiplicity 3 Based on Generalized Multiple Fourier Series Converging in the Mean: General Case of Series Summation

Understand

The article is devoted to the development of the method of expansion and mean-square approximation of iterated Ito stochastic integrals based on generalized multiple Fourier series converging in the mean.

• We adapt this method for iterated Stratonovich stochastic integrals of multiplicity 3 from the Taylor-Stratonovich expansion.
• The main result of the article has been derived with using the triple Fourier-Legendre series and triple trigonometric Fourier series for the general case of series summation.
• Some recent results on the expansion of iterated Stratonovich stochastic integrals of multiplicities 3 to 6 are given.