On the calculation of functionals from the solution of the linear Skorohod SDE with first-order chaos in the coefficients

MaRDI QIDQ6152277FDOQ6152277

Authors: A. D. Egorov 

Publication date: 11 March 2024

Full work available at URL: https://vestifm.belnauka.by/jour/article/view/730

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zbMATH Keywords

stochastic differential equationsapproximate formulasmathematical expectations of functionals from solutionsSkorochod equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10)

Cites Work

• Linear stochastic differential equations and Wick products
• Approximate formulas of the second order of accuracy for expectation of functionals from solution to linear SDE in Skorohod sense
• Linear Skorokhod SDE: Evaluation of Expectations of Functionals

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