Numerical solution of systems of random differential equations with Gaussian statistics

DOI10.1016/0022-247X(85)90108-8MaRDI QIDQ761037zbMATH OpenFDO

Authors Carl G. Looney

Publication date 1985

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

convergencemeannumerical examplescovariancesone-step methodrandom systemquadratic random Taylor series

Mathematics Subject Classification ID

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

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• scientific article; zbMATH DE number 3538713 (Why is no real title available?)
• scientific article; zbMATH DE number 3429996 (Why is no real title available?)
• Nonlinear stochastic differential delay equations
• Numerical solution of a class of random boundary value problems
• On product nonlinearities in stochastic differential equations
• Random differential equations in science and engineering
• Random integral equations with applications to life sciences and engineering
• Stochastic models, estimation, and control. Vol. 1
• The Monte Carlo Method

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(7)

• Smooth random functions, random ODEs, and Gaussian processes
• ON SOLVING STOCHASTIC INITIAL-VALUE DIFFERENTIAL EQUATIONS
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• Monte Carlo simulation with moment matching samples
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• Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs

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