Solving Riccati time-dependent models with random quadratic coefficient

This paper deals with the construction of approximate solutions of a random logistic differential equation whose nonlinear coefficient is assumed to be an analytic stochastic process and the initial condition is a random variable. Applying p-mean stochastic calculus, the nonlinear equation is transf...

Descripción completa

Detalles Bibliográficos
Autores: Cortés, J.-C.|||0000-0002-6528-2155, Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249, Company Rossi, Rafael|||0000-0001-5217-1889, Villafuerte Altuzar, Laura
Tipo de recurso: artículo
Fecha de publicación:2011
País:España
Institución:Universitat Politècnica de València (UPV)
Repositorio:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
Idioma:inglés
OAI Identifier:oai:riunet.upv.es:10251/62893
Acceso en línea:https://riunet.upv.es/handle/10251/62893
Access Level:acceso abierto
Palabra clave:P-mean stochastic calculus
Random logistic differential equation
Random power series solution
Analyticity
Approximate solution
Initial conditions
Linear problems
Monte Carlo Simulation
Nonlinear coefficient
Nonlinear problems
Power series solutions
Quadratic coefficients
Stochastic calculus
Stochastic process
Time-dependent models
Calculations
Computer simulation
Differential equations
Differentiation (calculus)
Monte Carlo methods
Nonlinear equations
Random processes
Stochastic models
Stochastic systems
Random variables
MATEMATICA APLICADA
id ES_1cb5e6a3e6ab4e3d94307f9dabce2e65
oai_identifier_str oai:riunet.upv.es:10251/62893
network_acronym_str ES
network_name_str España
repository_id_str
spelling Solving Riccati time-dependent models with random quadratic coefficientCortés, J.-C.|||0000-0002-6528-2155Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249Company Rossi, Rafael|||0000-0001-5217-1889Villafuerte Altuzar, LauraP-mean stochastic calculusRandom logistic differential equationRandom power series solutionAnalyticityApproximate solutionInitial conditionsLinear problemsMonte Carlo SimulationNonlinear coefficientNonlinear problemsPower series solutionsQuadratic coefficientsStochastic calculusStochastic processTime-dependent modelsCalculationsComputer simulationDifferential equationsDifferentiation (calculus)Monte Carlo methodsNonlinear equationsRandom processesStochastic modelsStochastic systemsRandom variablesMATEMATICA APLICADAThis paper deals with the construction of approximate solutions of a random logistic differential equation whose nonlinear coefficient is assumed to be an analytic stochastic process and the initial condition is a random variable. Applying p-mean stochastic calculus, the nonlinear equation is transformed into a random linear equation whose coefficients keep analyticity. Next, an approximate solution of the nonlinear problem is constructed in terms of a random power series solution of the associate linear problem. Approximations of the average and variance of the solution are provided. The proposed technique is illustrated through an example where comparisons with respect to Monte Carlo simulations are shown. © 2011 Elsevier Ltd. All rights reserved.This work has been partially supported by the Spanish M.C.Y.T. grants MTM2009-08587, DPI2010-20891-C02-01, Universitat Politecnica de Valencia grant PAID06-09-2588 and Mexican Conacyt.ElsevierFacultad de Administración y Dirección de EmpresasDepartamento de Matemática AplicadaInstituto Universitario de Matemática MultidisciplinarEscuela Técnica Superior de Ingeniería de Caminos, Canales y PuertosMinisterio de Ciencia e InnovaciónUniversitat Politècnica de ValènciaConsejo Nacional de Ciencia y Tecnología, MéxicoRepositorio Institucional de la Universitat Politècnica de València Riunet20112011-12-01journal articlehttp://purl.org/coar/resource_type/c_6501VoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleapplication/pdfapplication/pdfhttps://riunet.upv.es/handle/10251/62893reponame:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valénciainstname:Universitat Politècnica de València (UPV)InglésengMinisterio de Ciencia e Innovación http://dx.doi.org/10.13039/501100004837 MTM2009-08587 Ecuaciones Diferenciales Aleatorias Y AplicacionesUniversitat Politècnica de València https://doi.org/10.13039/501100004233 PAID-06-09-2588Ministerio de Ciencia e Innovación http://dx.doi.org/10.13039/501100004837 DPI2010-20891-C02-01 MODELIZACION Y METODOS NUMERICOS, ALEATORIOS Y DETERMINISTAS, PARA EL FILTRADO DE PARTICULAS DIESEL EN MOTORES DE COMBUSTION INTERNA SOBREALIMENTADOSopen accesshttp://purl.org/coar/access_right/c_abf2Reserva de todos los derechoshttp://rightsstatements.org/vocab/InC/1.0/info:eu-repo/semantics/openAccessoai:riunet.upv.es:10251/628932026-06-13T07:49:27Z
dc.title.none.fl_str_mv Solving Riccati time-dependent models with random quadratic coefficient
title Solving Riccati time-dependent models with random quadratic coefficient
spellingShingle Solving Riccati time-dependent models with random quadratic coefficient
Cortés, J.-C.|||0000-0002-6528-2155
P-mean stochastic calculus
Random logistic differential equation
Random power series solution
Analyticity
Approximate solution
Initial conditions
Linear problems
Monte Carlo Simulation
Nonlinear coefficient
Nonlinear problems
Power series solutions
Quadratic coefficients
Stochastic calculus
Stochastic process
Time-dependent models
Calculations
Computer simulation
Differential equations
Differentiation (calculus)
Monte Carlo methods
Nonlinear equations
Random processes
Stochastic models
Stochastic systems
Random variables
MATEMATICA APLICADA
title_short Solving Riccati time-dependent models with random quadratic coefficient
title_full Solving Riccati time-dependent models with random quadratic coefficient
title_fullStr Solving Riccati time-dependent models with random quadratic coefficient
title_full_unstemmed Solving Riccati time-dependent models with random quadratic coefficient
title_sort Solving Riccati time-dependent models with random quadratic coefficient
dc.creator.none.fl_str_mv Cortés, J.-C.|||0000-0002-6528-2155
Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
Company Rossi, Rafael|||0000-0001-5217-1889
Villafuerte Altuzar, Laura
author Cortés, J.-C.|||0000-0002-6528-2155
author_facet Cortés, J.-C.|||0000-0002-6528-2155
Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
Company Rossi, Rafael|||0000-0001-5217-1889
Villafuerte Altuzar, Laura
author_role author
author2 Jódar Sánchez, Lucas Antonio|||0000-0002-9672-6249
Company Rossi, Rafael|||0000-0001-5217-1889
Villafuerte Altuzar, Laura
author2_role author
author
author
dc.contributor.none.fl_str_mv Facultad de Administración y Dirección de Empresas
Departamento de Matemática Aplicada
Instituto Universitario de Matemática Multidisciplinar
Escuela Técnica Superior de Ingeniería de Caminos, Canales y Puertos
Ministerio de Ciencia e Innovación
Universitat Politècnica de València
Consejo Nacional de Ciencia y Tecnología, México
Repositorio Institucional de la Universitat Politècnica de València Riunet
dc.subject.none.fl_str_mv P-mean stochastic calculus
Random logistic differential equation
Random power series solution
Analyticity
Approximate solution
Initial conditions
Linear problems
Monte Carlo Simulation
Nonlinear coefficient
Nonlinear problems
Power series solutions
Quadratic coefficients
Stochastic calculus
Stochastic process
Time-dependent models
Calculations
Computer simulation
Differential equations
Differentiation (calculus)
Monte Carlo methods
Nonlinear equations
Random processes
Stochastic models
Stochastic systems
Random variables
MATEMATICA APLICADA
topic P-mean stochastic calculus
Random logistic differential equation
Random power series solution
Analyticity
Approximate solution
Initial conditions
Linear problems
Monte Carlo Simulation
Nonlinear coefficient
Nonlinear problems
Power series solutions
Quadratic coefficients
Stochastic calculus
Stochastic process
Time-dependent models
Calculations
Computer simulation
Differential equations
Differentiation (calculus)
Monte Carlo methods
Nonlinear equations
Random processes
Stochastic models
Stochastic systems
Random variables
MATEMATICA APLICADA
description This paper deals with the construction of approximate solutions of a random logistic differential equation whose nonlinear coefficient is assumed to be an analytic stochastic process and the initial condition is a random variable. Applying p-mean stochastic calculus, the nonlinear equation is transformed into a random linear equation whose coefficients keep analyticity. Next, an approximate solution of the nonlinear problem is constructed in terms of a random power series solution of the associate linear problem. Approximations of the average and variance of the solution are provided. The proposed technique is illustrated through an example where comparisons with respect to Monte Carlo simulations are shown. © 2011 Elsevier Ltd. All rights reserved.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-12-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://riunet.upv.es/handle/10251/62893
url https://riunet.upv.es/handle/10251/62893
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.relation.none.fl_str_mv Ministerio de Ciencia e Innovación http://dx.doi.org/10.13039/501100004837 MTM2009-08587 Ecuaciones Diferenciales Aleatorias Y Aplicaciones
Universitat Politècnica de València https://doi.org/10.13039/501100004233 PAID-06-09-2588
Ministerio de Ciencia e Innovación http://dx.doi.org/10.13039/501100004837 DPI2010-20891-C02-01 MODELIZACION Y METODOS NUMERICOS, ALEATORIOS Y DETERMINISTAS, PARA EL FILTRADO DE PARTICULAS DIESEL EN MOTORES DE COMBUSTION INTERNA SOBREALIMENTADOS
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Reserva de todos los derechos
http://rightsstatements.org/vocab/InC/1.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Reserva de todos los derechos
http://rightsstatements.org/vocab/InC/1.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
instname:Universitat Politècnica de València (UPV)
instname_str Universitat Politècnica de València (UPV)
reponame_str RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
collection RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869404238938898432
score 15,301603

Similares en LA Referencia