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Numerical solution of random differential initial value problems: Multistep methods
Author(s) -
Cortés J. C.,
Jódar L.,
Villafuerte L.
Publication year - 2010
Publication title -
mathematical methods in the applied sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.719
H-Index - 65
eISSN - 1099-1476
pISSN - 0170-4214
DOI - 10.1002/mma.1331
Subject(s) - mathematics , convergence (economics) , initial value problem , numerical analysis , linear multistep method , value (mathematics) , numerical methods for ordinary differential equations , calculus (dental) , mathematical analysis , differential equation , statistics , ordinary differential equation , collocation method , medicine , differential algebraic equation , dentistry , economics , economic growth
Abstract This paper deals with the construction of numerical methods of random initial value problems. Random linear multistep methods are presented and sufficient conditions for their mean square convergence are established. Main statistical properties of the approximations processes are computed in several illustrative examples. Copyright © 2010 John Wiley & Sons, Ltd.