Milne method for solving uncertain differential equations

被引：69
作者：
Gao, Rong [1 ]
机构：
[1] Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2016年 / 274卷
基金：
中国国家自然科学基金;
关键词：
Uncertain differential equation; Milne method; Uncertainty theory; STABILITY;
D O I：
10.1016/j.amc.2015.11.043
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Uncertain differential equation is a type of differential equation driven by Liu process and has been widely applied to many fields especially to uncertain finance. Unfortunately, the analytic solutions of uncertain differential equations cannot always be obtained. So far, some numerical methods have been investigated. This paper designs a new numerical algorithm for solving uncertain differential equations via Milne method. (C) 2015 Elsevier Inc. All rights reserved.
引用
收藏
页码：774 / 785
页数：12
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