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

zbMATH Keywords

quadrature formulasapproximate formulasItô's stochastic differential equationsmathematical expectations of functionalspolynomial functionals

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)

Related Items (4)

Unnamed Item ⋮ Unnamed Item ⋮ A method for the calculation of characteristics for the solution to stochastic differential equations ⋮ An approximate formula for calculating the expectations of functionals from random processes based on using the Wiener chaos expansion

Cites Work

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

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