Approximate calculation of mathematical expectations on processes with a drift

MaRDI QIDQ2806788zbMATH OpenFDO

Authors Anatoly V. Zherelo

Publication date 19 May 2016

Published in Nonlinear Phenomena in Complex Systems (Minsk) (Search for Journal in Brave)

Full work available at URL http://www.j-npcs.org/abstracts/vol2015/v18no2/v18no2p207.html

zbMATH Keywords

stochastic differential equationapproximationmathematical expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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(7)

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• Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
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• Numeric scheme for estimation of mathematical expectation of special form functionals, related to stochastic processes

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