A mean square chain rule and its application in solving the random Chebyshev differential equation
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Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: In this paper a new version of the chain rule for calculating the mean square derivative of a second-order stochastic process is proven. This random operational calculus rule is applied to construct a rigorous mean square solution of the random Chebyshev differential equation (r.C.d.e.) assuming mild moment hypotheses on the random variables that appear as coefficients and initial conditions of the corresponding initial value problem. Such solution is represented through a mean square random power series. Moreover, reliable approximations for the mean and standard deviation functions to the solution stochastic process of the r.C.d.e. are given. Several examples, that illustrate the theoretical results, are included.
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- Vector-valued functions on time scales and random differential equations
- Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
- Solving random mean square fractional linear differential equations by generalized power series: analysis and computing
- Theory and methods for random differential equations: a survey
- Random differential operational calculus: theory and applications
- Extending the study on the linear advection equation subject to stochastic velocity field and initial condition
- Extending the deterministic Riemann-Liouville and Caputo operators to the random framework: A mean square approach with applications to solve random fractional differential equations
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