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Licensed Unlicensed Requires Authentication Published by De Gruyter July 12, 2010

Approximate formulas for expectations of functionals of solutions to stochastic differential equations

  • A. Egorov and K. Sabelfeld

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.

Received: 2009-10-14
Revised: 2010-04-01
Published Online: 2010-07-12
Published in Print: 2010-July

© de Gruyter 2010

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