NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2001, Volume 4, Number 3, pp.295-298

On Calculation of Functional Integrals Based on Solution of Stochastical Differential Equation with Respect to Arbitrary Martingale
A.V. Zherelo

The method of the calculation of mathematical expectation of a functional over a solution of stochastical differential equation is proposed. The method is correct for equations with respect to arbitrary martingale.
Key words: stochastical equation, martingale, functional, Monte-Carlo method, stochastical integrals

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