Linear Skorokhod SDE: Evaluation of Expectations of Functionals

IF 0.3 Q4 PHYSICS, MULTIDISCIPLINARY

Nonlinear Phenomena in Complex Systems Pub Date : 2022-03-31 DOI:10.33581/1561-4085-2022-25-1-82-91

A. Egorov, A. Zherelo

引用次数: 1

Abstract

This paper considers a linear stochastic differential equation (SDE) containing the Skorokhod integral. A formula for the approximate calculation of functionals of solutions of this equation is constructed, which is approximately exact for polynomials of the third order.

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线性Skorokhod SDE：函数期望值的评估

本文考虑一个含有Skorokhod积分的线性随机微分方程。构造了该方程解的泛函的近似计算公式，该公式对于三阶多项式是近似精确的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Nonlinear Phenomena in Complex Systems PHYSICS, MULTIDISCIPLINARY-

CiteScore

0.90

自引率

25.00%

发文量