Numerical solution of systems of random differential equations with Gaussian statistics

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

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This paper presents a numerical method for approximating the mean and covariances of the solution of the random system \(X'(t)=F(t,X(t),A(t)),\) \(X(0)=X_ 0\) where A(t) is a known Gaussian vector process and \(X_ 0\) is a known Gaussian vector. The method involves expanding the components of the approximate \(X(t_{i+1})\) generated by a (deterministic) one-step method in quadratic random Taylor series of the components of \(X(t_ i)\). The Taylor series are then averaged to approximate the means of the components of \(X(t_{i+1})\) and multiplied by each other and averaged to approximate the covariances of the components of \(X(t_{i+1})\). A theorem is given to establish convergence when X(t) is Gaussian and F is quadratic in X(t) and A(t). Three examples with numerical results are given to demonstrate the effectiveness of the method.

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