On convergence of the method based on approximately exact formulas for functional polynomials for calculation of expectations of functionals to solutions of stochastic differential equations

Zherelo Anatoly ()
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Zherelo Anatoly: Institute of Mathematics, National Academy of Sciences of Belarus, Minsk, Belarus

Monte Carlo Methods and Applications, 2013, vol. 19, issue 3, 183-199

Abstract: In this article a new method is proposed for calculation of functionals to solutions of SDEs with stochastically discontinuous part. The convergence of the method is proved.

Keywords: Stochastic differential equations; expectations of functionals to solutions; approximate formulas (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1515/mcma-2013-0009

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