On the calculation of functionals from the solution of the linear Skorohod SDE with first-order chaos in the coefficients

Abstract

This article is devoted to the precise and approximate calculation of the mathematical expectation of non-linear functionals from the solution of the linear Skorohod equation with first-order chaos in the coefficients and the initial condition. In [1–4], approximate methods for calculating the mathematical expectation of functionals from solutions of the linear Skorohod stochastic differential equation with a random initial condition and deterministic coefficient functions were proposed and investigated. This paper considers the calculation of the mathematical expectation of nonlinear functionals from the solution to the linear Skorohod equation with first-order chaos in the coefficients and the initial condition. In this case, the solution is obtained in an analytical form [5]; however, it contains an unknown random parameter, determined as the solution of an auxiliary integral stochastic equation. In this paper we investigate the cases when the solution of this integral equation is found in an explicit form and then evaluate the moments and the mathematical expectations of some types of functional from the solution of the initial Skorohod equation. The construction of approximate formulas for calculating more general nonlinear functionals from the solution is considered. Numerical examples are given to illustrate the accuracy of the obtained formulas.