Solving Riccati time-dependent models with random quadratic coefficients

DOI10.1016/j.aml.2011.06.024zbMath1252.65013MaRDI QIDQ654278

Rafael Company, L. Villafuerte, Lucas Jodar, Juan-Carlos Cortés

Publication date: 28 December 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2011.06.024

zbMATH Keywords

comparison of methods; numerical examples; Monte Carlo simulations; random power series solution; \(p\)-mean stochastic calculus; random logistic 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

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

65C30: Numerical solutions to stochastic differential and integral equations