Solving linear and quadratic random matrix differential equations using: a mean square approach. The non-autonomous case
DOI10.1016/j.cam.2016.11.049zbMath1377.60068OpenAlexW2560236645MaRDI QIDQ1676024
Juan-Carlos Cortés, M. C. Casabán, Lucas Jodar
Publication date: 3 November 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.11.049
analytic-numerical solution\(L_p\)-random matrix calculusmean square random calculusrandom non-autonomous Riccati matrix differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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