Numerical solution of random differential equations: a mean square approach (Q2473221)
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scientific article; zbMATH DE number 5241217
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| English | Numerical solution of random differential equations: a mean square approach |
scientific article; zbMATH DE number 5241217 |
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Numerical solution of random differential equations: a mean square approach (English)
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26 February 2008
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The Euler method for approximating the solution of a first-order random ordinary differential equation is proved to be mean square convergent. Numerical results for approximations of the mean and variance of solutions of two examples are presented.
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random initial value problem
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random mean value theorem
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random Euler scheme
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convergence
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numerical results
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first-order random ordinary differential equation
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0.9497928023338318
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0.914592444896698
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0.9122480750083924
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0.8989112377166748
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0.8943224549293518
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