Analytic and numerical solutions of a Riccati differential equation with random coefficients

DOI10.1016/j.cam.2012.09.040zbMath1255.65023WikidataQ115359835 ScholiaQ115359835MaRDI QIDQ1931453

L. Villafuerte, Benito M. Chen-Charpentier, J. A. Licea

Publication date: 14 January 2013

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.09.040

zbMATH Keywords

Monte Carlo method; random differential equations; polynomial chaos; mean square calculus

Mathematics Subject Classification ID

65N12: Stability and convergence of numerical methods for boundary value problems involving PDEs

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

34F10: Bifurcation of solutions to ordinary differential equations involving randomness