NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2017, Vol.20, No.3, pp. 313 - 318

On One Approximation of a Solution of Nonlinear Stochastic Differential Equations with a Drift and Its Application
Anatoly Zherelo

The approximation of the special form for a solution of SDE with a drift has been considered. Proposed approximation has been used for numerical calculation of mathematical expectation with respect to solution of the original SDE.

Key words: stochastic differential equation, mathematical expectation, approximation

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