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Mean Square Heun’s Method Convergent for Solving Random Differential Initial Value Problems of First Order
Department of Mathematics, Faculty of Science, Mansoura University, Mansoura, Egypt
- 1 Department of Mathematics, Faculty of Science, Mansoura University, Mansoura, Egypt
American Journal of Computational Mathematics·Volume 04 (2014)·Pages 474–481·Published 11 November 2014·DOI10.4236/ajcm.2014.45040
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Abstract
This paper deals with the construction of Heun’s method of random initial value problems. Sufficient conditions for their mean square convergence are established. Main statistical properties of the approximations processes are computed in several illustrative examples.
KeywordsStochastic Partial Differential EquationsMean Square SenseSecond Order Random Variable
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