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Trudy Instituta Matematiki, 2014, Volume 22, Number 1, Pages 107–114 (Mi timb212)  
Evaluation of expectation of a functionals depending on the solution of linear stochastic equations

V. B. Malyutin

Institute of Mathematics of the National Academy of Sciences of Belarus
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Abstract: The method for evaluation of expectation of a functionals depending on the solution of linear stochastic differential equations is proposed. This method is based on evaluation of the eigenvalues of a three-diagonal matrix using the Sturm sequences. It is considered the application of this method to evaluation of characteristics of Ising systems with random effect in the form of a random white noise process.
Document Type: Article
UDC: 517.987.4+519.6
Language: Russian
Citation: V. B. Malyutin, “Evaluation of expectation of a functionals depending on the solution of linear stochastic equations”, Tr. Inst. Mat., 22:1 (2014), 107–114
Citation in format AMSBIB
\Bibitem{Mal14}
\by V.~B.~Malyutin
\paper Evaluation of expectation of a functionals depending on the solution of~linear stochastic equations
\jour Tr. Inst. Mat.
\yr 2014
\vol 22
\issue 1
\pages 107--114
\mathnet{http://mi.mathnet.ru/timb212}
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