Mean square convergence of the numerical solution of random differential equations

DOI10.1007/s00009-014-0452-8zbMath1338.60174OpenAlexW1991781528MaRDI QIDQ493352

Kazem Nouri, Hasan Ranjbar

Publication date: 3 September 2015

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00009-014-0452-8

zbMATH Keywords

random differential equationmean square solutionrandom implicit Runge-Kutta methodsrandom mean value theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (16)

Hyers-Ulam stability of random functional differential equation involving fractional-order derivative ⋮ Digital barrier options pricing: an improved Monte Carlo algorithm ⋮ 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 ⋮ On the Caputo fractional random boundary value problem ⋮ 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 ⋮ Mean square calculus and random linear fractional differential equations: Theory and applications ⋮ Solving the stochastic differential systems with modified split-step Euler-Maruyama method ⋮ Modified stochastic theta methods by ODEs solvers for stochastic differential equations ⋮ Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties ⋮ A mean square chain rule and its application in solving the random Chebyshev differential equation ⋮ Random fractional generalized Airy differential equations: a probabilistic analysis using mean square calculus ⋮ Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea ⋮ Second order linear differential equations with analytic uncertainties: stochastic analysis via the computation of the probability density function

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Wave equation driven by fractional generalized stochastic processes
• Numerical schemes for multivalued backward stochastic differential systems
• Numerical solution of stochastic differential equations by second order Runge-Kutta methods
• Mean square power series solution of random linear differential equations
• Random differential inequalities
• Random differential equations in science and engineering
• 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
• Numerical solution of random differential equations: a mean square approach
• On the convergence of LMF-type methods for SODEs
• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• 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.

This page was built for publication: Mean square convergence of the numerical solution of random differential equations