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Some Explicit Formulas for Calculation of Conditional Mathematical Expectations of Random Variables and their Applications / Kambarbaeva G.S. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2010. № 5. P. 10-15 [Moscow Univ. Math. Bulletin. Vol. 65, No 5, 2010. P. 186-190]. 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 while the second one is fixed. Examples from the financial mathematics are presented where the formulas obtained here are used.
Key words: stochastic differential equations,
average value, Fokker-Planck equation, exact solution,
applications to financial mathematics.
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