Iterated integrals for generalized Appell functions

Appell functions are a large class of multi-variable quasi-elliptic functions, which are also instances of higher depth mock modular forms. A central aspect of these functions is their non-holomorphic modular completion. Our previous work developed Appell functions for a general positive definite lattice Λ, and expressed the non-holomorphic completion in terms of the generalized error functions M_P, which are integrals over a P-dimensional hyperplane in Λotimes C. In this sequel, we express M_P as a P-dimensional iterated integral of variables w_jin H, such that the completion of the Appell function takes the form of an iterated Eichler integral of modular forms. We apply this to the case of the root lattice of the A_N Lie algebra, which is of particular interest because of their appearance in partition functions of topological twisted Yang-Mills theories.