Approximate Calculation of Functionals on Multidimensional Wiener Process

This paper proposes a formula for the approximate calculation of
functionals depending on the multidimensional Wiener process. The
formula is exact for third-order monomials, including not only
products of Wiener processes, but also for products containing
time as one of the factors. Examples of using the formula in
calculating mathematical expectations for some nonlinear
functionals are given.