Approximate Calculation of Functionals on Multidimensional Wiener Process

被引：0
|
作者：
Zherelo, Anatoly [1 ]
机构：
[1] Belarusian State Univ, 4 Nezalezhnasti Ave, Minsk 220030, BELARUS
来源：
NONLINEAR PHENOMENA IN COMPLEX SYSTEMS | 2023年 / 26卷 / 04期
关键词：
stochastic system; stochastic differential equations; mathematical modeling; approximate calculation;
D O I：
10.5281/zenodo.10406059
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
This paper proposes a formula for the approximate calculation of functionals depending on the multidimensional Wiener process. The formula is exact for third-order monomials, including not only products of Wiener processes, but also for products containing time as one of the factors. Examples of using the formula in calculating mathematical expectations for some nonlinear functionals are given.
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页码：342 / 348
页数：7
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