Nonlinear Phenomena in Complex Systems, 2024, Vol.27, No.4, pp.380

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2024, Vol.27, No.4, pp.380 - 385

On an approximate formula for functionals with respect to stochastic Poisson measure

Anatoly Zherelo

The paper constructs a formula for approximate calculation of mathematical functionals by the stochastic Poisson measure. The proposed formula is exact for moments of the third order for the Poisson measure. Examples of using the formula for calculating mathematical expectations for nonlinear functions are constructed.

Key words: stochastic processes with discontinuities; moments of a random process; approximate formula; weak approximation methods

DOI: https://doi.org/10.5281/zenodo.14508941

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