Numerical solution of systems of random differential equations with Gaussian statistics

DOI10.1016/0022-247X(85)90108-8zbMATH Open0556.65099MaRDI QIDQ761037FDOQ761037

Authors: Carl G. Looney 

Publication date: 1985

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

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zbMATH Keywords

convergencemeannumerical examplescovariancesone-step methodrandom systemquadratic random Taylor series

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Cites Work

• The Monte Carlo Method
• Stochastic models, estimation, and control. Vol. 1
• Random integral equations with applications to life sciences and engineering
• Random differential equations in science and engineering
• Nonlinear stochastic differential delay equations
• Numerical solution of a class of random boundary value problems
• Title not available (Why is that?)
• On product nonlinearities in stochastic differential equations
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Cited In (7)

• Smooth random functions, random ODEs, and Gaussian processes
• ON SOLVING STOCHASTIC INITIAL-VALUE DIFFERENTIAL EQUATIONS
• Title not available (Why is that?)
• Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs
• Monte Carlo simulation with moment matching samples
• Numerical solution of random differential equations: a mean square approach
• Title not available (Why is that?)

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