An Interdisciplinary Journal

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

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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Last updated: *August 3, 2015*