Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/325720| Title: | Approximate Calculation of Functionals on Multidimensional Wiener Process |
| Authors: | Zherelo, A. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Физика |
| Issue Date: | 2023 |
| Publisher: | Minsk : Education and Upbringing |
| Citation: | Nonlinear Phenomena in Complex Systems. - 2023. - Vol. 26. - № 4. - P. 342-348 |
| Abstract: | This paper proposes a formula for the approximate calculation of functionals depending on the multidimensional Wiener process. The formula is exact for third-order monomials, including not only products of Wiener processes, but also for products containing time as one of the factors. Examples of using the formula in calculating mathematical expectations for some nonlinear functionals are given. |
| URI: | https://elib.bsu.by/handle/123456789/325720 |
| ISSN: | 1561-4085 |
| DOI: | 10.5281/zenodo.10406059 |
| Licence: | info:eu-repo/semantics/openAccess |
| Appears in Collections: | 2023. Volume 26. Number 4 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| v26no4p342.pdf | 389,85 kB | Adobe PDF | View/Open |
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