Approximate formulas for expectations of functionals of solutions to stochastic differential equations
DOI10.1515/MCMA.2010.003zbMath1195.65008OpenAlexW4235132954MaRDI QIDQ3580724
Andreij I. Egorov, K. K. Sabel'fel'd
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
quadrature formulasapproximate formulasItô's stochastic differential equationsmathematical expectations of functionalspolynomial functionals
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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