Mean square convergence of the numerical solution of random differential equations
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random differential equationmean square solutionrandom implicit Runge-Kutta methodsrandom mean value theorem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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
- 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?)
- 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
- 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 Games with Multiple Modes and Applications to Portfolio Optimization
- Stochastic differential equations. An introduction with applications.
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Cited in
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- Second order linear differential equations with analytic uncertainties: stochastic analysis via the computation of the probability density function
- On the application of mean square calculus for solving random differential equations
- Modified stochastic theta methods by ODEs solvers for stochastic differential equations
- Solving the stochastic differential systems with modified split-step Euler-Maruyama method
- Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
- Mean Square Numerical Methods for Initial Value Random Differential Equations
- Hyers-Ulam stability of random functional differential equation involving fractional-order derivative
- Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
- On the Caputo fractional random boundary value problem
- 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
- Mean Square Convergent Numerical Methods for Nonlinear Random Differential Equations
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