ON APPROXIMATE EVALUATION OF MATHEMATICAL EXPECTATION OF FUNCTIONALS FROM THE SOLUTION TO THE LINEAR ÎTO–LÉVY EQUATION

А. D. EGOROV

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ON APPROXIMATE EVALUATION OF MATHEMATICAL EXPECTATION OF FUNCTIONALS FROM THE SOLUTION TO THE LINEAR ÎTO–LÉVY EQUATION

А. D. EGOROV

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Abstract

Functional quadrature formulas for evaluation of mathematical expectation of nonlinear functionals from the solution to the linear Îto–Lévy equation are constructed. The formulas are exact for third-degree functional polynomials from the solution. The error of the constructed composed formula is obtained for a class of integral-form functionals.

References

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ISSN 1561-8323 (Print)
ISSN 2524-2431 (Online)

Doklady of the National Academy of Sciences of Belarus

ON APPROXIMATE EVALUATION OF MATHEMATICAL EXPECTATION OF FUNCTIONALS FROM THE SOLUTION TO THE LINEAR ÎTO–LÉVY EQUATION

Full Text:

Abstract

About the Author

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Doklady of the National Academy of Sciences of Belarus

ON APPROXIMATE EVALUATION OF MATHEMATICAL EXPECTATION OF FUNCTIONALS FROM THE SOLUTION TO THE LINEAR ÎTO–LÉVY EQUATION

Full Text:

Abstract

About the Author

References

Review

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