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

Egorov A. D. and Zherelo A. V.

Monte Carlo Methods and Applications, 2004, vol. 10, issue 3-4, 257-264

Abstract: 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.

Date: 2004
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DOI: 10.1515/mcma.2004.10.3-4.257

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