Cortés López, JC.; Jódar Sánchez, LA.; Villafuerte Altuzar, L.; Company Rossi, R. (2011). Numerical solution of random differential models. Mathematical and Computer Modelling. 54(7):1846-1851. doi:10.1016/j.mcm.2010.12.037
Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/37629
Title:
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Numerical solution of random differential models
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Author:
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Cortés López, Juan Carlos
Jódar Sánchez, Lucas Antonio
Villafuerte Altuzar, Laura
Company Rossi, Rafael
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UPV Unit:
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Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
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Issued date:
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Abstract:
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This paper deals with the construction of a numerical solution of random initial value problems by means of a random improved Euler method. Conditions for the mean square convergence of the proposed method are established. ...[+]
This paper deals with the construction of a numerical solution of random initial value problems by means of a random improved Euler method. Conditions for the mean square convergence of the proposed method are established. Finally, an illustrative example is included in which the main statistics properties such as the mean and the variance of the stochastic approximation solution process are given. © 2011 Elsevier Ltd.
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Subjects:
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Mean square calculus
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Numerical solution
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Random differential equations
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Differential models
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Euler method
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Illustrative examples
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Mean square
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Stochastic approximations
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Approximation theory
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Convergence of numerical methods
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Differential equations
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Initial value problems
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Differentiation (calculus)
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Copyrigths:
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Reserva de todos los derechos
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Source:
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Mathematical and Computer Modelling. (issn:
0895-7177
)
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DOI:
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10.1016/j.mcm.2010.12.037
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Publisher:
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Elsevier
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Publisher version:
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http://dx.doi.org/10.1016/j.mcm.2010.12.037
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Project ID:
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Spanish M.C.Y.T. [MTM2009-08587, DPI2010-20891-C02-01]
Universidad Politecnica de Valencia [PAID06-09-2588]
Mexican Conacyt
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Thanks:
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This work has been partially supported by the Spanish M.C.Y.T. grants MTM2009-08587, DPI2010-20891-C02-01, Universidad Politecnica de Valencia grant PAID06-09-2588 and Mexican Conacyt.
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Type:
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Artículo
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