APPROXIMATE FORMULAS FOR CALCULATING THE MATHEMATICAL EXPECTATION OF FUNCTIONALS OF SOLUTION OF THE ITO EQUATIONS IN A HILBERT SPACE
Abstract
Approximate formulas for evaluation of mathematical expectation of functionals of solution of the linear stochastic Ito equations in the Hilbert space are obtained. The approach is based on using the functional quadrature formulas.
About the Author
A. D. Egorov
Institute of Mathematics of the National Academy of Sciences of Belarus
Belarus
D. Sc. (Physics and Mathematics), Professor, Chief researcher
Belarus
D. Sc. (Physics and Mathematics), Professor, Chief researcher
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