An Interdisciplinary Journal

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

Approximate Formulas of the Second Order of Accuracy for Expectation of Functionals from Solution to Linear SDE in Skorohod Sense
A. D. Egorov and A. V. Zherelo

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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