Linear Skorokhod SDE: Evaluation of Expectations of Functionals
NONLINEAR PHENOMENA IN COMPLEX SYSTEMS(2022)
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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