Mean square convergence of the numerical solution of random differential equations
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mean square solutionrandom differential equationrandom implicit Runge-Kutta methodsrandom mean value theorem
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cites work
- Adams-type methods for the numerical solution of stochastic ordinary differential equations
- Discrete Razumikhin-type technique and stability of the Euler-Maruyama method to stochastic functional differential equations
- Fixed points and exponential stability for a stochastic neutral cellular neural network
- scientific article; zbMATH DE number 5913352 (Why is no real title available?)
- scientific article; zbMATH DE number 486633 (Why is no real title available?)
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
- Mean square numerical solution of random differential equations: Facts and possibilities
- Mean square power series solution of random linear differential equations
- Numerical schemes for multivalued backward stochastic differential systems
- Numerical solution of random differential equations: a mean square approach
- Numerical solution of stochastic differential equations by second order Runge-Kutta methods
- On the convergence of LMF-type methods for SODEs
- Order conditions of stochastic Runge--Kutta methods by B-series
- Random differential equations in science and engineering
- Random differential inequalities
- Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems
- Stochastic differential equations. An introduction with applications.
- Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization
- Wave equation driven by fractional generalized stochastic processes
Cited in
(23)- Random first-order linear discrete models and their probabilistic solution: a comprehensive study
- Solving the random Cauchy one-dimensional advection-diffusion equation: numerical analysis and computing
- Extending the deterministic Riemann-Liouville and Caputo operators to the random framework: A mean square approach with applications to solve random fractional differential equations
- Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties
- Almost sure convergence of Galerkin approximations for a heat equation with a random initial condition
- Random fractional generalized Airy differential equations: a probabilistic analysis using mean square calculus
- Hyers-Ulam stability of random functional differential equation involving fractional-order derivative
- Mean square convergent numerical solutions of random fractional differential equations: approximations of moments and density
- Solving the stochastic differential systems with modified split-step Euler-Maruyama method
- Modified stochastic theta methods by ODEs solvers for stochastic differential equations
- Solving initial and two-point boundary value linear random differential equations: a mean square approach
- Second order linear differential equations with analytic uncertainties: stochastic analysis via the computation of the probability density function
- Digital barrier options pricing: an improved Monte Carlo algorithm
- Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
- \(\mathrm{L}^p\)-calculus approach to the random autonomous linear differential equation with discrete delay
- Computing mean square approximations of random diffusion models with source term
- Mean Square Convergent Numerical Methods for Nonlinear Random Differential Equations
- Mean square calculus and random linear fractional differential equations: theory and applications
- A mean square chain rule and its application in solving the random Chebyshev differential equation
- Mean Square Numerical Methods for Initial Value Random Differential Equations
- On the application of mean square calculus for solving random differential equations
- On the Caputo fractional random boundary value problem
- Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
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