A new proof of the expansion of iterated Ito stochastic integrals with respect to the components of a multidimensional Wiener process based on generalized multiple Fourier series and Hermite polynomials

Dmitriy F. Kuznetsov

The article is devoted to a new proof of the expansion for iterated Ito stochastic integrals with respect to the components of a multidimensional Wiener process. The above expansio…