An approximate formula for calculating the expectations of functionals from random processes based on using the Wiener chaos expansion

DOI10.1515/MCMA-2020-2074zbMath1469.65022OpenAlexW3091860247MaRDI QIDQ2026638

Yanyan Li

Publication date: 20 May 2021

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2020-2074

zbMATH Keywords

approximate formulasWiener chaos expansionfunctionals of random processesmathematical expectations of functionals

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Unnamed Item
• Approximate formulas for expectations of functionals of solutions to stochastic differential equations
• Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations
• Stochastic Differential Equations: A Wiener Chaos Approach

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