A mean square chain rule and its application in solving the random Chebyshev differential equation

DOI10.1007/S00009-017-0853-6zbMath1362.60054arXiv1612.08639OpenAlexW2566117621WikidataQ115390354 ScholiaQ115390354MaRDI QIDQ523684

L. Villafuerte, C. Burgos, Juan-Carlos Cortés

Publication date: 21 April 2017

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.08639

zbMATH Keywords

Monte Carlo simulationsmean square chain rulerandom Chebyshev differential equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Vector-valued functions on time scales and random differential equations ⋮ Extending the deterministic Riemann-Liouville and Caputo operators to the random framework: A mean square approach with applications to solve random fractional differential equations ⋮ Theory and methods for random differential equations: a survey ⋮ Mean square calculus and random linear fractional differential equations: Theory and applications ⋮ Solving random mean square fractional linear differential equations by generalized power series: analysis and computing ⋮ Extending the study on the linear advection equation subject to stochastic velocity field and initial condition ⋮ Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea

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