Analytic and numerical solutions of a Riccati differential equation with random coefficients

DOI10.1016/j.cam.2012.09.040zbMath1255.65023OpenAlexW2060983735WikidataQ115359835 ScholiaQ115359835MaRDI QIDQ1931453

J. A. Licea, Benito M. Chen-Charpentier, L. Villafuerte

Publication date: 14 January 2013

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.2012.09.040

zbMATH Keywords

Monte Carlo methodrandom differential equationspolynomial chaosmean square calculus

Mathematics Subject Classification ID

Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Bifurcation of solutions to ordinary differential equations involving randomness (34F10)

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