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Approximations for expectations of functionals of solutions to stochastic differential equations

Author

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  • Egorov A. D.

    (Institute of Mathematics, National Academy of Sciences of Belarus, Surganova str. 11, Minsk 220072, Belarus, Belarus. Email: egorov@im.bas-net.by)

Abstract

Approximate evaluation of mathematical expectations of nonlinear functionals of solutions to stochastic differential equations is considered. The approach based on interpolation of the coefficient functions of the equation is extended to the case of equations including integrals with respect to Poisson random measure and stochastic Wiener integral.

Suggested Citation

  • 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.
    • Handle: RePEc:bpj:mcmeap:v:13:y:2007:i:4:p:275-285:n:2
    DOI: 10.1515/mcma.2007.015
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    References listed on IDEAS

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    1. 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.
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