This article is cited in 1 paper

Mathematics

Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications

G. S. Kambarbaeva

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: For a couple of linear stochastic differential equations describing the behavior of two random values we solve a problem of finding the mean of one of them when the second one is fixed. We present examples from the financial mathematics where the formulas obtained here are used.

Key words: stochastic differential equations, average value, Fokker–Planck equation, exact solution, applications to financial mathematics.

UDC: 51-77

Received: 15.06.2009

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