Random Euler Method for Solving a System of Random Matrix Differential Initial Value Problem in Mean Square Sense
Mohamed A. Sohaly, Ahlam H. Tolba · SSRN Electronic Journal · 2016
In this paper, the random Euler method (REM) is used in solving system of random matrix differential initial value problems of first order. The existence and uniqueness theorem was proved. The REM is presented and the conditions for the mean square (m.s.) convergence are established. Numerical examples show that REM gives good results where some statistical properties of the numerical solutions are computed through numerical case studies.