ORDER OF CONVERGENCE OF APPROXIMATIONS FOR ONE CLASS OF FUNCTIONALS OF THE WIENER PROCESS
Abstract
The result on the order of convergence of the approximate formula is obtained for evaluation of the mathematical expectation of one class of special-type functionals of the Wiener process. The formula is based on the use of sampling the time interval and the quadrature formulas exact for third-degree functional polynomials.
About the Author
A. D. Egorov
Institute of Mathematics of the National Academy of Sciences of Belarus, Minsk
Belarus
Belarus
References
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