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Numerical methods and programming, 2008, Volume 9, Issue 3, Pages 234–238
(Mi vmp437)
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This article is cited in 1 scientific paper (total in 1 paper)
Вычислительные методы и приложения
A relation between numerical and analytical results for stochastic differential equations
D. A. Grachev Lomonosov Moscow State University, Faculty of Physics
Abstract:
We consider the following simplest ordinary differential equations: the Jacobi equation $y''+K(x)y=0$ with the random coefficient $K(x)=K(x,\omega)$ and the equation $y'=a(x)y$ with the random coefficient $a(x)=a(x,\omega)$. A relation between numerical and
analytical approaches to the study of solutions to these equations is examined. The advantages of these approaches are discussed.
Keywords:
equations with random coefficients, numerical modeling, stochastic differential equations.
Citation:
D. A. Grachev, “A relation between numerical and analytical results for stochastic differential equations”, Num. Meth. Prog., 9:3 (2008), 234–238
Linking options:
https://www.mathnet.ru/eng/vmp437 https://www.mathnet.ru/eng/vmp/v9/i3/p234
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Abstract page: | 93 | Full-text PDF : | 37 |
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