On an approach to the approximate calculation of mathematical expectations from solutions of stochastic differential equations with drift
https://doi.org/10.67268/1812-5093-2026-34-1-68-75
EDN: YPMEOH
Abstract
The object of the paper's research is the stochastic differential equation of Ito with drift. The paper proposes a method for approximate calculation of mathematical expectations of functions from the solution of such equation. The method is based on the use of an auxiliary random process of a special kind that depends only on the Wiener process. This approach allows us to use the already known approximate calculation formulas for the case when the functional depends only on the Wiener process to obtain an approximate value of the desired mathematical expectation. The paper presents the results of a numerical experiment.
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Review
For citations:
Zherelo A.V. On an approach to the approximate calculation of mathematical expectations from solutions of stochastic differential equations with drift. Proceedings of the Institute of Mathematics of the NAS of Belarus. 2026;34(1):68-75. (In Russ.) https://doi.org/10.67268/1812-5093-2026-34-1-68-75. EDN: YPMEOH
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