Mean square numerical solution of random differential equations:: Facts and possibilities

被引：44

作者：

Cortes, J. C. ^{[1
]}

Jodar, L. ^{[1
]}

Villafuerte, L. ^{[1
]}

机构：

[1] Univ Politecn Valencia, Inst Matemat Multidisciplinar, Valencia, Spain

来源：

COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2007年 / 53卷 / 07期

关键词：

random differential equation; mean square; numerical solution;

D O I：

10.1016/j.camwa.2006.05.030

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper deals with the construction of numerical solutions of random initial value differential problems. The random Euler method is presented and the conditions for the mean square convergence are established. Numerical examples show that random Euler method gives good results even if the sufficient convergence conditions are not satisfied. (C) 2007 Elsevier Ltd. All rights reserved.

引用

页码：1098 / 1106

页数：9

共 11 条

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