On an approximate formula for functionals with respect to stochastic Poisson measure

The paper constructs a formula for approximate calculation of mathematical functionals by the stochastic Poisson measure. The proposed formula is exact for moments of the third order for the Poisson measure. Examples of using the formula for calculating mathematical expectations for nonlinear functions are constructed.

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Publication Details

Journal
Digital Library of the Belarusian State University (Belarusian State University)
Published
2024-12-17
DOI
https://doi.org/10.5281/zenodo.14508941
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00
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article

On an approximate formula for functionals with respect to stochastic Poisson measure

Digital Library of the Belarusian State University (Belarusian State University)
Stochastic processes and financial applications
article

On an approximate formula for functionals with respect to stochastic Poisson measure

article en

Abstract

The paper constructs a formula for approximate calculation of mathematical functionals by the stochastic Poisson measure. The proposed formula is exact for moments of the third order for the Poisson measure. Examples of using the formula for calculating mathematical expectations for nonlinear functions are constructed.

Digital Library of the Belarusian State University (Belarusian State University)
Belarusian State University (BY)
Openalex Percentile: Top 54%
Stochastic processes and financial applications
DOIOpen Access PDFOpenAlex
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On an approximate formula for functionals with respect to stochastic Poisson measure · Digital Library of the Belarusian State University (Belarusian State University) (2024) | TGRS Research Map | TGRS