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Approximate formulas for expectations of functionals of solutions to stochastic differential equations
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A. Egorov
Published/Copyright:
July 12, 2010
Abstract
Approximate formulas for evaluation of mathematical expectations of nonlinear functionals of solutions to Ito's stochastic differential equation are constructed. The general approach is based on quadrature formulas which are exact for functional polynomials.
Keywords.: Ito's stochastic differential equations; polynomial functionals; mathematical expectations of functionals; approximate formulas
Received: 2009-10-14
Revised: 2010-04-01
Published Online: 2010-07-12
Published in Print: 2010-July
© de Gruyter 2010
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Keywords for this article
Ito's stochastic differential equations;
polynomial functionals;
mathematical expectations of functionals;
approximate formulas
Articles in the same Issue
- Approximate formulas for expectations of functionals of solutions to stochastic differential equations
- Simulation of binary random fields with Gaussian numerical models
- A spectral-based Monte Carlo algorithm for generating samples of nonstationary Gaussian processes
- The Multilevel Monte Carlo method used on a Lévy driven SDE
- Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options
