Approximate formula for mathematical expectations of a solution of a stochastic differential equation with drift
Abstract
The paper considers the case of a stochastic differential equation in the sense of Ito with drift. For the equation under consideration, a formula for the approximate calculation of mathematical expectations from its solution is constructed. An estimate of the error of the constructed formula is obtained. A numerical experiment is performed.
References
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Review
For citations:
Zherelo A.V. Approximate formula for mathematical expectations of a solution of a stochastic differential equation with drift. Proceedings of the Institute of Mathematics of the NAS of Belarus. 2025;33(1):87-94. (In Russ.)
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