Approximate formulas for expectations of functionals of solutions to stochastic differential equations
DOI10.1515/MCMA.2010.003zbMATH Open1195.65008OpenAlexW4235132954MaRDI QIDQ3580724FDOQ3580724
Authors: A. G. Egorov, Karl Sabelfeld 
Publication date: 13 August 2010
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2010.003
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Cites Work
Cited In (20)
- Approximations for expectations of functionals of solutions to stochastic differential equations
- Evaluation of expectation of a functionals depending on the solution of linear stochastic equations
- Title not available (Why is that?)
- On approximate evaluation of mathematical expectation of functionals from the solution to the linear Itô-Lévy equation
- Approximate formulas for calculating the mathematical expectation of functionals of solution of the Ito equations in a Hilbert space
- Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
- Simplified formulas for the mean and variance of linear stochastic differential equations
- On one approximation of a solution of nonlinear stochastic differential equations with a drift and its application
- An approximate formula for calculating the expectations of functionals from random processes based on using the Wiener chaos expansion
- Application of functional integrals to stochastic equations
- Approximate calculation of mathematical expectations on processes with a drift
- Title not available (Why is that?)
- Approximate formulas of the second order of accuracy for expectation of functionals from solution to linear SDE in Skorohod sense
- Title not available (Why is that?)
- On composed approximate formulas for expectations of functionals of random processes
- A method for the calculation of characteristics for the solution to stochastic differential equations
- Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps
- Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations
- Numeric scheme for estimation of mathematical expectation of special form functionals, related to stochastic processes
- ON EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC EQUATIONS
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