Nonlinear Phenomena in Complex Systems, 2020, Vol.23, No.3, pp.299

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2020, Vol.23, No.3, pp.299 - 305

On Calculation of Means of SDE with Drift
Anatoly Zherelo

The numerical method of approximate calculation of mean of a stochastic differential equation with a drift was constructed. The proposed method is based on the so called weak method of approximations and does not require simulations of trajectories of the solutions.

Key words: stochastic differential equation, mathematical expectation, approximation

DOI: https://doi.org/10.33581/1561-4085-2020-23-3-299-305

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