New Simple Method of Expansion of Iterated Ito Stochastic integrals of Multiplicity 2 Based on Expansion of the Brownian Motion Using Legendre Polynomials and Trigonometric Functions

Abstract

The article is devoted to the expansion of iterated Ito stochastic integrals of second multiplicity based on expansion of the Brownian motion (standard Wiener process) using complete orthonormal systems of functions in the space $L_2([t, T]).$ The cases of Legendre polynomials and trigonometric functions are considered in details. We obtained a new representation of the Levy stochastic area based on the Legendre polynomials. This representation was first derived in the author's work (1997). In this article, we obtain the mentioned representation by a simpler method compared to the author's work (1997). Also, we get the polynomial representation of the Levy stochastic area using the method of expansion of iterated Ito stochastic integrals based on generalized multple Fourier series. The polynomial representation of the Levy stochastic area has more simple form in comparison with the classical trigonometric representation of the Levy stochastic area. The convergence in the mean of degree $2n$ $(n\in\mathbb{N})$ as well as the convergence with probability 1 for approximations of the Levy stochastic area are proved. The results of the article can be applied to the numerical solution of Ito stochastic differential equations as well as to the numerical approximation of mild solution for non-commutative semilinear stochastic partial differential equations.