COMPUTATIONAL MATHEMATICS

Approximate formula for mathematical expectations of a solution of a stochastic differential equation with drift

A. V. Zherelo

Belarusian State University, Minsk, Belarus

Abstract: The paper considers the case of a stochastic differential equation in the sense of Ito with drift. For the equation under consideration, a formula for the approximate calculation of mathematical expectations from its solution is constructed. An estimate of the error of the constructed formula is obtained. A numerical experiment is performed.

Keywords: random process, stochastic differential equation, Ito integral, mathematical expectation, approximate calculations, weak approximations.

UDC: 519.21+519.6

Received: 04.04.2025
Revised: 13.05.2025
Accepted: 23.05.2025