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

DOI10.1186/s13662-015-0398-6zbMath1347.65013OpenAlexW2120045049WikidataQ59425095 ScholiaQ59425095MaRDI QIDQ738526

Morteza Khodabin, Madjid Rostami

Publication date: 2 September 2016

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-015-0398-6

zbMATH Keywords

stochastic differential equationmean square convergencemean square solutionrandom mean value theoremrandom fourth-order Runge-Kutta methodstochastic initial value problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Solving the random Cauchy one-dimensional advection-diffusion equation: numerical analysis and computing ⋮ Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation ⋮ Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties

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