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On convergence of the method based on approximately exact formulas for functional polynomials for calculation of expectations of functionals to solutions of stochastic differential equations

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  • Zherelo Anatoly

    (Institute of Mathematics, National Academy of Sciences of Belarus, Minsk, Belarus)

Abstract

In this article a new method is proposed for calculation of functionals to solutions of SDEs with stochastically discontinuous part. The convergence of the method is proved.

Suggested Citation

  • Zherelo Anatoly, 2013. "On convergence of the method based on approximately exact formulas for functional polynomials for calculation of expectations of functionals to solutions of stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 19(3), pages 183-199, October.
    • Handle: RePEc:bpj:mcmeap:v:19:y:2013:i:3:p:183-199:n:2
    DOI: 10.1515/mcma-2013-0009
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    References listed on IDEAS

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    1. 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.
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