Nonlinear Phenomena in Complex Systems, 2009, Vol.12, No.3, pp.310-314

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2009, Vol.12, No.3, pp.310-314

Approximate Calculation of Integrals with Respect to Measure Generated by the Solution of a System of Stochastic Differential Equations.
Anatoly V. Zherelo

Third order accuracy approximation formula for the stochastic processes with continuous and discrete components has been proposed. On the basis of the proposed formula, the approximately accurate formula for one special system of stochastic differential equation has been constructed.
Key words: stochastic process, stochastic integral, stochastic differential equation

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