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

Egorov A. and Sabelfeld K.
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Egorov A.: Belarus Academy of Sciences, Surganova St. 11, Minsk 220072, Belarus. E-mail: egorov@im.bas-net.by
Sabelfeld K.: Institute of Computational Mathematics and Mathematical Geophysics, Academy of Sciences, Siberian Branch, Lavrentjeva 6, 630090 Novosibirsk, Russia. E-mail: karl@osmf.sscc.ru

Monte Carlo Methods and Applications, 2010, vol. 16, issue 2, 95-127

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 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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DOI: 10.1515/mcma.2010.003

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