Abstract
This paper deals with the construction of numerical solution of nonlinear random matrix initial value problems by means of a random Euler scheme. Conditions for the mean square convergence of the method are established avoiding the use of pathwise information. Finally, one includes several illustrative examples where the main statistics properties of the stochastic approximation processes are given.
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Cortés, J.C., Jódar, L., Villanueva, R.J., Villafuerte, L. (2010). Mean Square Convergent Numerical Methods for Nonlinear Random Differential Equations . In: Gavrilova, M.L., Tan, C.J.K. (eds) Transactions on Computational Science VII. Lecture Notes in Computer Science, vol 5890. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-11389-5_1
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DOI: https://doi.org/10.1007/978-3-642-11389-5_1
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