Application of Weak Approximations to Density Approximation Problems
Belarusian State University, Belarus
The object of this research is a stochastic differential equation in the Ito sense with drift. This report is based on the application of a method for approximating the density of the solution distribution based on the moments of the solution. Since in the case of an equation with drift, the exact solution, and therefore the moment, can only be found analytically in a limited number of cases, weak formulas are used to calculate the approximate values of the moments of the solution. Accuracy estimates are provided for the first four moments of the solution. A numerical experiment is also conducted.
