Numerical solution of random differential initial value problems: Multistep methods

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...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Mathematical methods in the applied sciences 2011-01, Vol.34 (1), p.63-75
Hauptverfasser:	Cortés, J. C., Jódar, L., Villafuerte, L.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Computation Construction Convergence Exact sciences and technology Initial value problems Mathematical analysis Mathematical models Mathematics mean square calculus Mean square values Numerical analysis Numerical analysis. Scientific computation Numerical methods in probability and statistics Ordinary differential equations Partial differential equations Partial differential equations, initial value problems and time-dependant initial-boundary value problems random initial value problem random linear multistep scheme Sciences and techniques of general use
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Beschreibung
Zusammenfassung:	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.
ISSN:	0170-4214 1099-1476 1099-1476
DOI:	10.1002/mma.1331