Geodesic
On one approximate formula for the case of martingales with random start condition
Trudy Instituta matematiki, Tome 24 (2016) no. 2, pp. 32-36

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In this paper the stochastic differential equation with random initial condition was considered. Here was supposed, that the equation is the equation without drift. The approximate formula for calculation of the mathematical expectation on a solution of the equation was constructed. The accuracy of the proposed formula was estimated. The results of numerical experiments are given. 
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     author = {A. V. Zherelo},
     title = {On one approximate formula for the case of martingales with random start condition},
     journal = {Trudy Instituta matematiki},
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     volume = {24},
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     year = {2016},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TIMB_2016_24_2_a3/}
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A. V. Zherelo. On one approximate formula for the case of martingales with random start condition. Trudy Instituta matematiki, Tome 24 (2016) no. 2, pp. 32-36. http://geodesic.mathdoc.fr/item/TIMB_2016_24_2_a3/