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Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations

Author

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  • Egorov A. D.
  • Zherelo A. V.

    (National Academy of Sciences of Belarus, Institute of Mathematics, Surganova str., 11, Minsk, 220072, Belarus)

Abstract

An approach to an approximate evaluation of mathematical expectation of nonlinear functionals from solution of stochastic differential equations is developed. The equations with jump components are included. The method is based on functional integral representation of mathematical expectations, substituting some approximations instead of processes and on using approximate formulas of a given accuracy for functional integrals.

Suggested Citation

  • Egorov A. D. & Zherelo A. V., 2004. "Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 10(3-4), pages 257-264, December.
    • Handle: RePEc:bpj:mcmeap:v:10:y:2004:i:3-4:p:257-264:n:8
    DOI: 10.1515/mcma.2004.10.3-4.257
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    Cited by:

    1. Egorov A. D., 2007. "Approximations for expectations of functionals of solutions to stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 13(4), pages 275-285, November.
    2. Egorov A. & Sabelfeld K., 2010. "Approximate formulas for expectations of functionals of solutions to stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 16(2), pages 95-127, January.
    3. Egorov Alexander & Malyutin Victor, 2017. "A method for the calculation of characteristics for the solution to stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 23(3), pages 149-157, September.

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