NUMERICAL SOLUTION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS WITH GAUSSIAN RANDOM PARAMETERS

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FARNOOSH R.; REZAZADEH H.; SOBHANI A.; EBRAHIMIBAGHA D.

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Paper Information

Journal: Journal of Linear and Topological Algebra Year:2013 | Volume:2 | Issue:4 Page(s): 223-235

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Title

NUMERICAL SOLUTION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS WITH GAUSSIAN RANDOM PARAMETERS

Author(s)

FARNOOSH R. | REZAZADEH H. | SOBHANI A. | EBRAHIMIBAGHA D. | Issue Writer Certificate

Keywords

STOCHASTIC DIFFERENTIAL EQUATION

LINEAR EQUATIONS SYSTEM

GAUSSIAN RANDOM VARIABLES

DAMPED HARMONIC OSCILLATORS WITH NOISE

MULTIPLICATIVE NOISE

Abstract

In this paper, we present the numerical solution of ordinary differential equations (or SDEs), from each order especially second-order with time-varying and Gaussian random coefficients. We indicate a complete analysis for second-order equations in special case of scalar linear second-order equations (damped harmonic oscillators with additive or multi-plicative noises). Making STOCHASTIC DIFFERENTIAL EQUATIONs system from this equation, it could be approximated or solved numerically by different numerical methods. In the case of linear STOCHASTIC DIFFERENTIAL EQUATIONs system by Computing fundamental matrix of this system, it could be calculated based on the exact solution of this system. Finally, this stochastic equation is solved by numerically method like Euler-Maruyama and Milstein. Also its Asymptotic stability and statistical concepts like expectation and variance of solutions are discussed.

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APA: Copy

FARNOOSH, R., REZAZADEH, H., SOBHANI, A., & EBRAHIMIBAGHA, D.. (2013). NUMERICAL SOLUTION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS WITH GAUSSIAN RANDOM PARAMETERS. JOURNAL OF LINEAR AND TOPOLOGICAL ALGEBRA, 2(4), 223-235. SID. https://sid.ir/paper/335589/en

Vancouver: Copy

FARNOOSH R., REZAZADEH H., SOBHANI A., EBRAHIMIBAGHA D.. NUMERICAL SOLUTION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS WITH GAUSSIAN RANDOM PARAMETERS. JOURNAL OF LINEAR AND TOPOLOGICAL ALGEBRA[Internet]. 2013;2(4):223-235. Available from: https://sid.ir/paper/335589/en

IEEE: Copy

R. FARNOOSH, H. REZAZADEH, A. SOBHANI, and D. EBRAHIMIBAGHA, “NUMERICAL SOLUTION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS WITH GAUSSIAN RANDOM PARAMETERS,” JOURNAL OF LINEAR AND TOPOLOGICAL ALGEBRA, vol. 2, no. 4, pp. 223–235, 2013, [Online]. Available: https://sid.ir/paper/335589/en

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