An Interdisciplinary Journal

* 2012, Vol.15, No.2, pp.178-184*

The approximate calculation of functionals of a special type, which depends on a trajectory of a stochastic process was considered. The method based on approximations of a weak type was proposed. For constructed method the estimation of convergence was given.

*Key words: *
Brownian motion, path integral, stochastic integral,
approximate calculations

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Last updated: *September 11, 2012*