Abstract
A solution to the trace convergence problem, which arises in proving the mean-square convergence for the approximation of iterated Stratonovich stochastic integrals, is proposed. This approximation is based on the representation of factorized Volterra-type functions as the orthogonal series. Solving the trace convergence problem involves the theory of trace class operators for symmetrized Volterra-type kernels. The main results are primarily focused on the approximation of iterated Stratonovich stochastic integrals, which are used to implement numerical methods for solving stochastic differential equations based on the Taylor–Stratonovich expansion.
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