On one approximation of a solution of nonlinear stochastic differential equations with a drift and its application

MaRDI QIDQ4565813zbMATH OpenFDO

Authors Anatoly V. Zherelo

Publication date 13 June 2018

Full work available at URL http://www.j-npcs.org/abstracts/vol2017/v20no3/v20no3p313.html

zbMATH Keywords

stochastic differential equationapproximationmathematical expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(5)

• On One Approach to Mathematical Modeling of Socio-EconomicDevelopment of Regions
• 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 calculation of mathematical expectations on processes with a drift
• An optimal Gauss-Markov approximation for a process with stochastic drift and applications

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