Approximate formulas of the second order of accuracy for expectation of functionals from solution to linear SDE in Skorohod sense

zbMATH Open1440.37058MaRDI QIDQ5118526FDOQ5118526

Authors: A. D. Egorov, Anatoly V. Zherelo 

Publication date: 26 August 2020

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zbMATH Keywords

stochastic differential equationstochastic integralapproximate calculations

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (7)

• 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
• 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
• Linear Skorokhod SDE: Evaluation of Expectations of Functionals
• Approximate formulas for expectations of functionals of solutions to stochastic differential equations

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