Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Monte Carlo Methods and Applications

Managing Editor: Sabelfeld, Karl K.

Editorial Board: Binder, Kurt / Bouleau, Nicolas / Chorin, Alexandre J. / Dimov, Ivan / Dubus, Alain / Egorov, Alexander D. / Ermakov, Sergei M. / Halton, John H. / Heinrich, Stefan / Kalos, Malvin H. / Lepingle, D. / Makarov, Roman / Mascagni, Michael / Mathe, Peter / Niederreiter, Harald / Platen, Eckhard / Sawford, Brian R. / Schmid, Wolfgang Ch. / Schoenmakers, John / Simonov, Nikolai A. / Sobol, Ilya M. / Spanier, Jerry / Talay, Denis

4 Issues per year


CiteScore 2016: 0.70

SCImago Journal Rank (SJR) 2016: 0.647
Source Normalized Impact per Paper (SNIP) 2016: 0.908

Mathematical Citation Quotient (MCQ) 2016: 0.33

Online
ISSN
1569-3961
See all formats and pricing
More options …
Volume 10, Issue 3-4 (Dec 2004)

Issues

Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations

A. D. Egorov / A. V. Zherelo
  • National Academy of Sciences of Belarus, Institute of Mathematics, Surganova str., 11, Minsk, 220072, Belarus
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
Published Online: 2008-05-09 | DOI: https://doi.org/10.1515/mcma.2004.10.3-4.257

An approach to an approximate evaluation of mathematical expectation of nonlinear functionals from solution of stochastic differential equations is developed. The equations with jump components are included. The method is based on functional integral representation of mathematical expectations, substituting some approximations instead of processes and on using approximate formulas of a given accuracy for functional integrals.

About the article

E mail:


Published Online: 2008-05-09

Published in Print: 2004-12-01


Citation Information: Monte Carlo Methods and Applications mcma, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: https://doi.org/10.1515/mcma.2004.10.3-4.257.

Export Citation

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[1]
A. D. Egorov
Monte Carlo Methods and Applications, 2007, Volume 13, Number 4
[2]
A. Egorov and K. Sabelfeld
Monte Carlo Methods and Applications, 2010, Volume 16, Number 2

Comments (0)

Please log in or register to comment.
Log in