基于维纳混沌展开计算随机过程泛函期望的近似公式

IF 0.8 Q3 STATISTICS & PROBABILITY

Monte Carlo Methods and Applications Pub Date : 2020-10-07 DOI:10.1515/mcma-2020-2074

A. Egorov

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引用次数: 1

摘要

摘要在这项工作中，我们提出了一种从随机过程中计算非线性泛函的数学期望的新方法。该方法基于维纳混沌展开和近似公式，对给定次数的函数多项式是精确的。考虑了说明近似精度的示例。

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An approximate formula for calculating the expectations of functionals from random processes based on using the Wiener chaos expansion

Abstract In this work, we propose a new method for calculating the mathematical expectation of nonlinear functionals from random processes. The method is based on using Wiener chaos expansion and approximate formulas, exact for functional polynomials of given degree. Examples illustrating approximation accuracy are considered.

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来源期刊

Monte Carlo Methods and Applications STATISTICS & PROBABILITY-

CiteScore

1.20

自引率

22.20%

发文量