Mean square numerical solution of random differential equations: Facts and possibilities

Authors:
J. C. Cortés;L. Jódar;L. Villafuerte
Affiliations:
Instituto de Matemática Multidisciplinar, Universidad Politécnica de Valencia, Edificio 8G, 2a, P.O. Box 22012, Valencia, Spain;Instituto de Matemática Multidisciplinar, Universidad Politécnica de Valencia, Edificio 8G, 2a, P.O. Box 22012, Valencia, Spain;Instituto de Matemática Multidisciplinar, Universidad Politécnica de Valencia, Edificio 8G, 2a, P.O. Box 22012, Valencia, Spain
Venue:
Computers & Mathematics with Applications
Year:
2007

Citing 2
Cited 5

Numerical methods for ordinary differential systems: the initial value problem

Numerical methods for ordinary differential systems: the initial value problem
Analytic-numerical approximating processes of diffusion equation with data uncertainty

Computers & Mathematics with Applications

Random linear-quadratic mathematical models: Computing explicit solutions and applications

Mathematics and Computers in Simulation
Mean square power series solution of random linear differential equations

Computers & Mathematics with Applications
Randomness in a mathematical model for the transmission of respiratory syncytial virus (RSV)

Mathematics and Computers in Simulation
Numerical solution of random differential models

Mathematical and Computer Modelling: An International Journal
Numerical solution of stochastic differential equations by second order Runge-Kutta methods

Mathematical and Computer Modelling: An International Journal

Quantified Score

Hi-index	0.09

Visualization

Abstract

This paper deals with the construction of numerical solutions of random initial value differential problems. The random Euler method is presented and the conditions for the mean square convergence are established. Numerical examples show that random Euler method gives good results even if the sufficient convergence conditions are not satisfied.