Solving linear and quadratic random matrix differential equations: A mean square approach
2016
Abstract In this paper linear and Riccati random matrix differential equations are solved taking advantage of the so called L p -random calculus. Uncertainty is assumed in coefficients and initial conditions. Existence of the solution in the L p -random sense as well as its construction are addressed. Numerical examples illustrate the computation of the expectation and variance functions of the solution stochastic process.
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