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An algorithm for solving linear random differential and integral equations. (English) Zbl 0581.60043
Stochastic programming, Conf. Gargnano/Italy 1983, Lect. Notes Control Inf. Sci. 76, 69-77 (1986).
[For the entire collection see Zbl 0572.00022.]
An algorithm for using the method of moments to generate numerical approximations of random integral equations is presented. The algorithm is extended to random ordinary differential equations. Some examples are also given.
Reviewer: O.Hadžić
MSC:
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H20 Stochastic integral equations