Mean square numerical solution of stochastic differential equations by fourth order Runge-Kutta method and its application in the electric circuits with noise

DOI10.1186/S13662-015-0398-6MaRDI QIDQ738526zbMATH OpenOpenAlexWikidataFDO

Authors Morteza Khodabin, M. Rostami

Publication date 2 September 2016

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-015-0398-6

zbMATH Keywords

stochastic differential equationmean square convergencemean square solutionrandom mean value theoremrandom fourth-order Runge-Kutta methodstochastic initial value problem

Mathematics Subject Classification ID

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)

Recommendations

• Numerical solution of stochastic differential equations by second order Runge-Kutta methods
• scientific article; zbMATH DE number 2204840
• Numerical solution of stochastic differential equations with additive noise by Runge-Kutta methods
• Mean Square Numerical Methods for Initial Value Random Differential Equations
• Runge-Kutta methods for numerical solution of stochastic differential equations

Cites work

• Analytic stochastic process solutions of second-order random differential equations
• Computing mean square approximations of random diffusion models with source term
• Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation
• Interpolation solution in generalized stochastic exponential population growth model
• Mean square numerical solution of random differential equations: Facts and possibilities
• Numerical solution of random differential equations: a mean square approach
• Numerical solution of random differential models
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• Numerical solution of stochastic differential equations by second order Runge-Kutta methods
• Population growth as a nonlinear stochastic process
• Random Airy type differential equations: mean square exact and numerical solutions
• Random analytic solution of coupled differential models with uncertain initial condition and source term
• Random differential equations in science and engineering
• Random linear-quadratic mathematical models: Computing explicit solutions and applications
• Stochastic differential equations. An introduction with applications.

Cited in

(5)

• Numerical method for SDEs with skew-normal white noise and its application in electrical circuits simulation
• Numerical solution of stochastic differential equations by second order Runge-Kutta methods
• Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
• Solving the random Cauchy one-dimensional advection-diffusion equation: numerical analysis and computing
• Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties

This page was built for publication: Mean square numerical solution of stochastic differential equations by fourth order Runge-Kutta method and its application in the electric circuits with noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738526)