Theory and methods for random differential equations: a survey

In this survey, we present an overview of random differential equations, focusing on strong solutions and methods for estimation of statistics and densities. We combine classical and recent literature on the subject, making special emphasis on topics for which review works are still lacking.

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Bibliographic Details
Published inSeMA journal Vol. 80; no. 4; pp. 549 - 579
Main Author Jornet, Marc
Format Journal Article
LanguageEnglish
Published Cham Springer International Publishing 01.12.2023
Springer Nature B.V
Subjects
Applications of Mathematics
Differential equations
Mathematical analysis
Mathematics
Mathematics and Statistics
Differential equation with random input parameters
Moment and density estimation
35R60
65C30
Uncertainty quantification
Mathematical modeling
34F05
Stochastic solution
60H35
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Summary:In this survey, we present an overview of random differential equations, focusing on strong solutions and methods for estimation of statistics and densities. We combine classical and recent literature on the subject, making special emphasis on topics for which review works are still lacking.
ISSN:2254-3902
2281-7875
DOI:10.1007/s40324-022-00314-0