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Abstract
Approximate formulas for evaluation of mathematical expectations of nonlinear functionals of solutions to Ito's stochastic differential equation are constructed. The general approach is based on quadrature formulas which are exact for functional polynomials.
Keywords.: Ito's stochastic differential equations; polynomial functionals; mathematical expectations of functionals; approximate formulas
Received: 2009-10-14
Revised: 2010-04-01
Published Online: 2010-07-12
Published in Print: 2010-July
© de Gruyter 2010