A mean square chain rule and its application in solving the random Chebyshev differential equation

DOI10.1007/s00009-017-0853-6zbMath1362.60054arXiv1612.08639WikidataQ115390354 ScholiaQ115390354MaRDI QIDQ523684

L. Villafuerte, C. Burgos, Juan-Carlos Cortés

Publication date: 21 April 2017

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

Full work available at URL: https://arxiv.org/abs/1612.08639

zbMATH Keywords

Monte Carlo simulations; mean square chain rule; random Chebyshev differential equation

Mathematics Subject Classification ID

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

37H10: Generation, random and stochastic difference and differential equations

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

65C30: Numerical solutions to stochastic differential and integral equations