Nonlinear Phenomena in Complex Systems, 2021, Vol.25, No.1, pp. 82

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2022, Vol.25, No., pp. 82 - 91

Linear Skorokhod SDE: Evaluation of Expectations of Functionals

Alexander Egorov and Anatoly Zherelo

This paper considers a linear stochastic differential equation (SDE) containing the Skorokhod integral. A formula for the approximate calculation of functionals of solutions of this equation is constructed, which is approximately exact for polynomials of the third order.

Key words: stochastic differential equation, approximate calculation

DOI: https://doi.org/10.33581/1561-4085-2022-25-1-82-91

Full text: Acrobat PDF (420 KB)