Milne method for solving uncertain differential equations

Rong Gao

Applied Mathematics and Computation, 2016, vol. 274, issue C, 774-785

Abstract: Uncertain differential equation is a type of differential equation driven by Liu process and has been widely applied to many fields especially to uncertain finance. Unfortunately, the analytic solutions of uncertain differential equations cannot always be obtained. So far, some numerical methods have been investigated. This paper designs a new numerical algorithm for solving uncertain differential equations via Milne method.

Keywords: Uncertain differential equation; Milne method; Uncertainty theory (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:274:y:2016:i:c:p:774-785

DOI: 10.1016/j.amc.2015.11.043

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