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New Representation of Levy Stochastic Area, Based on Legendre polynomials
Preprint
01 July 2018
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Abstract
The article is devoted to obtainment a new representation of Levy stochastic area, based on Legengre polynomials. We use expansion of multiple Ito stochastic integrals, based on multiple Fourier-Legendre series converging in the mean. The mentioned new representation of Levy stochastic area has more simple form in comparison with the classical representation of Levy stochastic area.