Convergence of Analytical Stochastic Processes in Mean Square
Marín Sánchez, Freddy Hernán
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In this paper we consider a random initial value classical problem. We give, based on the Euler numerical approach, new and weaker conditions on f for its convergence in the mean square sense . This work also presents the process to build the numerical solution, as well as, its mean, variance, and covariance. We test our methodology with some random differential equation where as the solution as the first and second moments can be obtained analytically.