Mean square numerical solution of random differential equations: Facts and possibilities (Q2458714)

Conditions are identified and then shown to imply the existence and uniqueness of the solution of the random initial value problem (RIVP) \[ \dot X(t)=f(X(t), t),\quad X(t_0)=X_0,\quad t_0\leq t\leq t_1 \] where \(f\) is a random function and \(X_0\) is a random variable. Under these conditions mean square convergence is proved for the random Euler method numerical approximations of the solution of the RIVP. Numerical results for three examples are presented to demonstrate the accuracy of the approximations of the mean and the variance of the solution.