Nonlinear Phenomena in Complex Systems, 2025, Vol.28, No.3, pp.261

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2025, Vol.28, No.3, pp.261 - 268

On the Accuracy of One Formula for the Case of a Stochastic Differential Equation with Jumps

Anatoly Zherelo

Random processes with jumps find application in various fields of research, such as economics. Generally researchers are interested in the values of mathematical expectations from processes of this kind. Previously, the author has proposed a formula for the approximate calculation of mathematical expectations from processes defined by a stochastic differential equation containing a process with jumps. In this paper an accuracy estimate is obtained for the earlier proposed formula

Key words: stochastic process with discontinuities, moments of random process, approximate formula, weak approximation method

DOI: https://doi.org/10.5281/zenodo.17235903

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