Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2010, Number 5, Pages 10–15 (Mi vmumm808)  
This article is cited in 1 scientific paper (total 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
Full-text PDF (223 kB) Citations (1)
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.
Funding agency Grant number
Ministry of Education and Science of the Russian Federation 2.1.1/1399
Received: 15.06.2009
Bibliographic databases:
Document Type: Article
UDC: 51-77
Language: Russian
Citation: G. S. Kambarbaeva, “Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2010, no. 5, 10–15
Citation in format AMSBIB
\Bibitem{Kam10}
\by G.~S.~Kambarbaeva
\paper Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2010
\issue 5
\pages 10--15
\mathnet{http://mi.mathnet.ru/vmumm808}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=2815261}
\zmath{https://zbmath.org/?q=an:1304.60022}
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