Stochastic finite elements: a spectral approach
Stochastic finite elements: a spectral approach
The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
SIAM Journal on Scientific Computing
Random linear-quadratic mathematical models: Computing explicit solutions and applications
Mathematics and Computers in Simulation
Random differential operational calculus: Theory and applications
Computers & Mathematics with Applications
Random coefficient differential equation models for bacterial growth
Mathematical and Computer Modelling: An International Journal
Epidemic models with random coefficients
Mathematical and Computer Modelling: An International Journal
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In this paper an analytic mean square solution of a Riccati equation with randomness in the coefficients and initial condition is given. This analytic solution can be expressed in an explicit form by using a general theorem for the chain rule for stochastic processes that can be written as a composition of a C^1 function and a stochastic process belonging to the Banach space L"p, p=1. Moreover, the exact mean and variance functions of the Riccati equation are computed and they are compared to those obtained by Monte Carlo, Differential Transform and Generalized Chaos Polynomial methods. Advantages and disadvantages of these methods are discussed for this equation.