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P. E. Kloeden, E. Platen and H. Schurz, “Numerical Solution of SDE Through Computer Experiments,” Second Edition, Springer, 1997.

has been cited by the following article:

• TITLE: Mean Square Numerical Methods for Initial Value Random Differential Equations

  AUTHORS: Magdy A. El-Tawil, Mohammed A. Sohaly

  KEYWORDS: Random Differential Equations, Mean Square Sense, Second Random Variable, Initial Value Problems, Random Euler Method, Random Runge Kutta-2 Method

  JOURNAL NAME: Open Journal of Discrete Mathematics, Vol.1 No.2, July 5, 2011

  ABSTRACT: In this paper, the random Euler and random Runge-Kutta of the second order methods are used in solving random differential initial value problems of first order. The conditions of the mean square convergence of the numerical solutions are studied. The statistical properties of the numerical solutions are computed through numerical case studies.