Numerical solution of systems of random differential equations with Gaussian statistics

DOI10.1016/0022-247X(85)90108-8zbMath0556.65099MaRDI QIDQ761037

Carl G. Looney

Publication date: 1985

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

convergencenumerical examplesmeanone-step methodcovariancesrandom systemquadratic random Taylor series

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

Monte Carlo simulation with moment matching samples

Cites Work

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• On product nonlinearities in stochastic differential equations
• Stochastic models, estimation, and control. Vol. 1
• Random differential equations in science and engineering
• Numerical solution of a class of random boundary value problems
• Nonlinear stochastic differential delay equations
• Random integral equations with applications to life sciences and engineering
• The Monte Carlo Method

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