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

Author

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  • Egorov Alexander

    (Institute of Mathematics, National Academy of Sciences of Belarus, Surganova str., 10, Minsk, Belarus)

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.

Suggested Citation

  • Egorov Alexander, 2020. "An approximate formula for calculating the expectations of functionals from random processes based on using the Wiener chaos expansion," Monte Carlo Methods and Applications, De Gruyter, vol. 26(4), pages 285-292, December.
    • Handle: RePEc:bpj:mcmeap:v:26:y:2020:i:4:p:285-292:n:4
    DOI: 10.1515/mcma-2020-2074
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