Mean square convergent numerical methods for nonlinear random differential equations

  • Authors:

  • J.-C. Cortés;L. Jódar;R.-J. Villanueva;L. Villafuerte

  • Affiliations:

  • Instituto Universitario de Matemática Multidisciplinar, Universidad Politécnica de Valencia, Valencia, Spain;Instituto Universitario de Matemática Multidisciplinar, Universidad Politécnica de Valencia, Valencia, Spain;Instituto Universitario de Matemática Multidisciplinar, Universidad Politécnica de Valencia, Valencia, Spain;Facultad de Ingeniería, Universidad Autónoma de Chiapas, Tuxtla Gutiérrez, Chiapas, México

  • Venue:
  • Transactions on computational science VII
  • Year:
  • 2010

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Abstract

This paper deals with the construction of numerical solution of nonlinear random matrix initial value problems by means of a random Euler scheme. Conditions for the mean square convergence of the method are established avoiding the use of pathwise information. Finally, one includes several illustrative examples where the main statistics properties of the stochastic approximation processes are given.