Approximate formulas for calculating the mathematical expectation of functionals of solution of the Ito equations in a Hilbert space

MaRDI QIDQ5370666zbMATH OpenFDO

Authors A. D. Egorov

Publication date 20 October 2017

Full work available at URL http://doklady.belnauka.by/jour/article/view/365

zbMATH Keywords

approximate formulasmathematical expectations from solutionsstochastic differential equations in Hilbert spaces

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)

Recommendations

• Approximate formulas for expectations of functionals of solutions to stochastic differential equations
• On approximate evaluation of mathematical expectation of functionals from the solution to the linear Itô-Lévy equation
• Approximate formulas of the second order of accuracy for expectation of functionals from solution to linear SDE in Skorohod sense
• Approximations for expectations of functionals of solutions to stochastic differential equations
• Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations

Cited in

(8)

• Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
• Approximate formulas for expectations of functionals of solutions to stochastic differential equations
• Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations
• On composed approximate formulas for expectations of functionals of random processes
• Evaluation of expectation of a functionals depending on the solution of linear stochastic equations
• Approximate formulas of the second order of accuracy for expectation of functionals from solution to linear SDE in Skorohod sense
• On approximate evaluation of mathematical expectation of functionals from the solution to the linear Itô-Lévy equation
• Approximations for expectations of functionals of solutions to stochastic differential equations

This page was built for publication: Approximate formulas for calculating the mathematical expectation of functionals of solution of the Ito equations in a Hilbert space

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5370666)