{"title":"Linear Skorokhod SDE: Evaluation of Expectations of Functionals","authors":"A. Egorov, A. Zherelo","doi":"10.33581/1561-4085-2022-25-1-82-91","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":43601,"journal":{"name":"Nonlinear Phenomena in Complex Systems","volume":" ","pages":""},"PeriodicalIF":0.3000,"publicationDate":"2022-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Nonlinear Phenomena in Complex Systems","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.33581/1561-4085-2022-25-1-82-91","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"PHYSICS, MULTIDISCIPLINARY","Score":null,"Total":0}
引用次数: 1
Abstract
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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