Probabilistic solution of the homogeneous Riccati differential equation: a case-study by using linearization and transformation techniques

DOI10.1016/j.cam.2014.11.028zbMath1339.60068OpenAlexW2084363282MaRDI QIDQ491004

A. Navarro-Quiles, José Vicente Romero, Rafael-Jacinto Villanueva, Juan-Carlos Cortés, M. C. Casabán, M. D. Roselló

Publication date: 24 August 2015

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.2014.11.028

zbMATH Keywords

first probability density functionrandom variable transformation techniquerandom Riccati differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Ordinary differential equations and systems with randomness (34F05)

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