Approximate formulas for expectations of functionals of solutions to stochastic differential equations

DOI10.1515/MCMA.2010.003MaRDI QIDQ3580724zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

approximate formulasItô's stochastic differential equationsmathematical expectations of functionalspolynomial functionalsquadrature formulas

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations

Cited in

(24)

• An approximate formula for calculating the expectations of functionals from random processes based on using the Wiener chaos expansion
• A method for the calculation of characteristics for the solution to stochastic differential equations
• Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
• Approximate calculation of mathematical expectations on processes with a drift
• Numeric scheme for estimation of mathematical expectation of special form functionals, related to stochastic processes
• Simplified formulas for the mean and variance of linear stochastic differential equations
• Application of functional integrals to stochastic equations
• scientific article; zbMATH DE number 447082 (Why is no real title available?)
• scientific article; zbMATH DE number 4178730 (Why is no real title available?)
• scientific article; zbMATH DE number 22031 (Why is no real title available?)
• ON EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC EQUATIONS
• On one approximation of a solution of nonlinear stochastic differential equations with a drift and its application
• Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations
• On composed approximate formulas for expectations of functionals of random processes
• Evaluation of expectation of a functionals depending on the solution of linear stochastic equations
• scientific article; zbMATH DE number 4003201 (Why is no real title available?)
• Approximate formulas of the second order of accuracy for expectation of functionals from solution to linear SDE in Skorohod sense
• Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps
• 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
• Approximations for expectations of functionals of solutions to stochastic differential equations
• On the calculation of functionals from the solution of the linear Skorohod SDE with first-order chaos in the coefficients
• Approximate formulas for evaluation of one class of functionals of the Poisson process
• On the Itô-Alekseev-Gröbner formula for stochastic differential equations

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