Approximations for expectations of functionals of solutions to stochastic differential equations

Egorov A. D. ()
Additional contact information
Egorov A. D.: Institute of Mathematics, National Academy of Sciences of Belarus, Surganova str. 11, Minsk 220072, Belarus, Belarus. Email: egorov@im.bas-net.by

Monte Carlo Methods and Applications, 2007, vol. 13, issue 4, 275-285

Abstract: Approximate evaluation of mathematical expectations of nonlinear functionals of solutions to stochastic differential equations is considered. The approach based on interpolation of the coefficient functions of the equation is extended to the case of equations including integrals with respect to Poisson random measure and stochastic Wiener integral.

Keywords: Stochastic differential equations; nonlinear functional of solutions; mathematical expectations of functionals; approximate evaluation (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/mcma.2007.015 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:mcmeap:v:13:y:2007:i:4:p:275-285:n:2

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/mcma/html

DOI: 10.1515/mcma.2007.015

Access Statistics for this article

Monte Carlo Methods and Applications is currently edited by Karl K. Sabelfeld

More articles in Monte Carlo Methods and Applications from De Gruyter
Bibliographic data for series maintained by Peter Golla ().