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Numerical solution of random differential models
2011
Mathematical and computer modelling
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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. 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.
doi:10.1016/j.mcm.2010.12.037
fatcat:zk2pfyyme5hatovm2kklswl2em