Nonlinear Phenomena in Complex Systems, 2023, Vol.26, No.4, pp.342

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2023, Vol.26, No.4, pp.342 - 348

Approximate Calculation of Functionals on Multidimensional Wiener Process

Anatoly Zherelo

This paper proposes a formula for the approximate calculation of functionals depending on the multidimensional Wiener process. The formula is exact for third-order monomials, including not only products of Wiener processes, but also for products containing time as one of the factors. Examples of using the formula in calculating mathematical expectations for some nonlinear functionals are given.

Key words: stochastic system, stochastic differential equations, mathematical modeling, approximate calculation

DOI: https://doi.org/10.5281/zenodo.10406059

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