Numerical solution of a class of random boundary value problems

DOI10.1016/0022-247X(79)90010-6zbMath0401.65084MaRDI QIDQ1255311

Marian R. Barry, William E. Boyce

Publication date: 1979

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

zbMATH Keywords

ApproximatingNumerical SolutionContinuous Random Variables By Discrete Random VariablesConvergence of This ProcedureIllustrative ExampleNonlinear Random Boundary Value ProblemsSample Boundary Value ProblemsTwo Methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solution of boundary value problems involving ordinary differential equations (65L10) Probabilistic methods, stochastic differential equations (65C99)

Related Items

A second-order Monte Carlo method for the solution of the Ito stochastic differential equation, Existence conditions and variational approach for adapted solutions of the two-point boundary value problem of stochastic differential equations, Numerical solution of systems of random differential equations with Gaussian statistics

Cites Work

• The method of moments for linear random initial value problems
• GENERATION OF A STOCHASTIC PROCESS WITH DESIRED FIRST‐ AND SECOND‐ORDER STATISTICS
• A Numerical Analysis of Some First Order Stochastic Initial Value Problems
• Approximate Integration of Stochastic Differential Equations
• The Method of Moments for Linear Random Boundary Value Problems
• Numerical Solution of Ito Integral Equations
• On the Nature of the Spectrum of Singular Second Order Linear Differential Equations