Linear Skorokhod SDE: Evaluation of Expectations of Functionals

NONLINEAR PHENOMENA IN COMPLEX SYSTEMS（2022）

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摘要

This paper considers a linear stochastic differential equation (SDE) containing the Skorokhod integral. A formula for the approximate calculation of functionals of solutions of this equation is constructed, which is approximately exact for polynomials of the third order.

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关键词

stochastic differential equation,approximate calculation

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