Nonlinear Phenomena in Complex Systems, 2012, Vol.15, No.2, pp.178-184

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

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

Numeric Scheme for Estimation of Mathematical Expectation of Special Form Functionals, Related to Stochastic Processes.
A. V. Zherelo

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

Full text: Acrobat PDF (529KB)