NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2015, Vol.18, No.2, pp.207-214

Approximate Calculation of Mathematical Expectations on Processes with a Drift
Anatoly Zherelo

In this paper stochastic differential equations with a drift are considered. Approximate formula for mathematical expectations of functionals on solution of the SDE is constructed in the case of small intervals of time. Accuracy of the proposed formula is estimated.


Key words: stochastic differential equation, mathematical expectation, approximation

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