Cortés López, JC.; Jódar Sánchez, LA.; Company Rossi, R.; Villafuerte Altuzar, L. (2011). Solving Riccati time-dependent models with random quadratic coefficient. Applied Mathematics Letters. 24(12):2193-2196. https://doi.org/10.1016/j.aml.2011.06.024
Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/62893
Título:
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Solving Riccati time-dependent models with random quadratic coefficient
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Autor:
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Cortés López, Juan Carlos
Jódar Sánchez, Lucas Antonio
Company Rossi, Rafael
Villafuerte Altuzar, Laura
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Entidad UPV:
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Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
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Fecha difusión:
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Resumen:
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This paper deals with the construction of approximate solutions of a random logistic differential equation whose nonlinear coefficient is assumed to be an analytic stochastic process and the initial condition is a random ...[+]
This paper deals with the construction of approximate solutions of a random logistic differential equation whose nonlinear coefficient is assumed to be an analytic stochastic process and the initial condition is a random variable. Applying p-mean stochastic calculus, the nonlinear equation is transformed into a random linear equation whose coefficients keep analyticity. Next, an approximate solution of the nonlinear problem is constructed in terms of a random power series solution of the associate linear problem. Approximations of the average and variance of the solution are provided. The proposed technique is illustrated through an example where comparisons with respect to Monte Carlo simulations are shown. © 2011 Elsevier Ltd. All rights reserved.
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Palabras clave:
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P-mean stochastic calculus
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Random logistic differential equation
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Random power series solution
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Analyticity
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Approximate solution
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Initial conditions
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Linear problems
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Monte Carlo Simulation
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Nonlinear coefficient
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Nonlinear problems
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Power series solutions
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Quadratic coefficients
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Stochastic calculus
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Stochastic process
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Time-dependent models
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Calculations
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Computer simulation
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Differential equations
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Differentiation (calculus)
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Monte Carlo methods
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Nonlinear equations
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Random processes
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Stochastic models
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Stochastic systems
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Random variables
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Derechos de uso:
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Reserva de todos los derechos
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Fuente:
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Applied Mathematics Letters. (issn:
0893-9659
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DOI:
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10.1016/j.aml.2011.06.024
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Editorial:
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Elsevier
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Versión del editor:
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http://dx.doi.org/10.1016/j.aml.2011.06.024
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Código del Proyecto:
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info:eu-repo/grantAgreement/MICINN//MTM2009-08587/ES/Ecuaciones Diferenciales Aleatorias Y Aplicaciones/ /
info:eu-repo/grantAgreement/UPV//PAID-06-09-2588/
info:eu-repo/grantAgreement/MICINN//DPI2010-20891-C02-01/ES/MODELIZACION Y METODOS NUMERICOS, ALEATORIOS Y DETERMINISTAS, PARA EL FILTRADO DE PARTICULAS DIESEL EN MOTORES DE COMBUSTION INTERNA SOBREALIMENTADOS/
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Agradecimientos:
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This work has been partially supported by the Spanish M.C.Y.T. grants MTM2009-08587, DPI2010-20891-C02-01, Universitat Politecnica de Valencia grant PAID06-09-2588 and Mexican Conacyt.
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Tipo:
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Artículo
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