Affiliation:
1. Institute of Mathematics of National Academy of Science of Belarus
2. Belarusian State University
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.
Publisher
Belarusian State University
Subject
Mathematical Physics,Statistical and Nonlinear Physics
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