Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 5 (2010), pp. 10-15
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G. S. Kambarbaeva. Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 5 (2010), pp. 10-15. http://geodesic.mathdoc.fr/item/VMUMM_2010_5_a1/
@article{VMUMM_2010_5_a1,
author = {G. S. Kambarbaeva},
title = {Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications},
journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
pages = {10--15},
year = {2010},
number = {5},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/VMUMM_2010_5_a1/}
}
TY - JOUR
AU - G. S. Kambarbaeva
TI - Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
JO - Vestnik Moskovskogo universiteta. Matematika, mehanika
PY - 2010
SP - 10
EP - 15
IS - 5
UR - http://geodesic.mathdoc.fr/item/VMUMM_2010_5_a1/
LA - ru
ID - VMUMM_2010_5_a1
ER -
%0 Journal Article
%A G. S. Kambarbaeva
%T Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
%J Vestnik Moskovskogo universiteta. Matematika, mehanika
%D 2010
%P 10-15
%N 5
%U http://geodesic.mathdoc.fr/item/VMUMM_2010_5_a1/
%G ru
%F VMUMM_2010_5_a1
For a couple of linear stochastic differential equations describing the behavior of two random values we solve a problem of finding the mean of one of them when the second one is fixed. We present examples from the financial mathematics where the formulas obtained here are used.
