On approximate evaluation of mathematical expectation of functionals from the solution to the linear Itô-Lévy equation

zbMATH Open1372.65078MaRDI QIDQ5369747FDOQ5369747

Authors: A. D. Egorov 

Publication date: 18 October 2017

Full work available at URL: http://doklady.belnauka.by/jour/article/view/48

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Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) 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) Optimal stochastic control (93E20)

Cited In (5)

• Approximate formulas for evaluation of one class of functionals of the Poisson process
• Approximate formulas for calculating the mathematical expectation of functionals of solution of the Ito equations in a Hilbert space
• Approximate formulas of the second order of accuracy for expectation of functionals from solution to linear SDE in Skorohod sense
• On composed approximate formulas for expectations of functionals of random processes
• Approximate formulas for expectations of functionals of solutions to stochastic differential equations

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