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线性Skorokhod SDE：函数期望值的评估

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
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引用次数: 1

摘要

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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Linear Skorokhod SDE: Evaluation of Expectations of Functionals
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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来源期刊
Nonlinear Phenomena in Complex Systems
Nonlinear Phenomena in Complex Systems PHYSICS, MULTIDISCIPLINARY-
CiteScore
0.90
自引率
25.00%
发文量
32
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