An Interdisciplinary Journal

* 2019, Vol.22, No.3, pp.292 - 298*

In this paper an approximate formula of the second order of accuracy has been developed to calculate mathematical expectation of functionals from a solution to linear Skorohod stochastic differential equations. At the base of the constructed formula the additional improved approximation formula has been also built.

*Key words: *
stochastic differential equation, stochastic integral, approximate calculations

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Last updated: *November 3, 2019*