Nonlinear Phenomena in Complex Systems, 2026, Vol.29, No.2, pp.137

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS
An Interdisciplinary Journal

2026, Vol.29, No.2, pp.137 - 143

On Approximation of Density of a Stochastic Differential Equation with a Drift

A. Zherelo

Method for approximating the probability density function of the solution of a stochastic differential equation with a drift has been proposed. The approximation uses Chebyshev-Hermite polynomials composed with the weak approximation of the moments of a solution of the equation. The results of numerical simulation are presented.

Key words: random processes, stochastic differential equations, Ito integral, probability density function

DOI: https://doi.org/10.5281/zenodo.21104675

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