Analytic and numerical solutions of a Riccati differential equation with random coefficients

10Citations
Citations of this article
5Readers
Mendeley users who have this article in their library.

Abstract

In this paper an analytic mean square solution of a Riccati equation with randomness in the coefficients and initial condition is given. This analytic solution can be expressed in an explicit form by using a general theorem for the chain rule for stochastic processes that can be written as a composition of a C1 function and a stochastic process belonging to the Banach space Lp, p<1. Moreover, the exact mean and variance functions of the Riccati equation are computed and they are compared to those obtained by Monte Carlo, Differential Transform and Generalized Chaos Polynomial methods. Advantages and disadvantages of these methods are discussed for this equation. © 2012 Elsevier B.V. All rights reserved.

Cite

CITATION STYLE

APA

Licea, J. A., Villafuerte, L., & Chen-Charpentier, B. M. (2013). Analytic and numerical solutions of a Riccati differential equation with random coefficients. Journal of Computational and Applied Mathematics, 239(1), 208–219. https://doi.org/10.1016/j.cam.2012.09.040

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free