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

被引：0
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作者：
Morteza Khodabin
Majid Rostami
机构：
[1] Islamic Azad University,Department of Mathematics, College of Basic Sciences, Karaj Branch
[2] Islamic Azad University,Department of Mathematics, Naragh Branch
来源：
Advances in Difference Equations | / 2015卷
关键词：
stochastic differential equation; random fourth order Runge-Kutta method; random mean value theorem; mean square solution;
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摘要：
We consider numerical solutions of stochastic initial value problems via the random Runge-Kutta method of the fourth order. A random mean value theorem is established and the mean square convergence of these methods is proved. The expectation and variance of the solution are derived. We supplement this method by plotting computational errors.
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