Runge-Kutta Method for Solving Uncertain Differential Equations

By Xiangfeng Yang, Yuanyuan Shen. 2015

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Uncertain differential equations have been widely applied to many fields especially to uncertain finance. Unfortunately, we cannot always get the analytic solution of uncertain differential equations. Early researchers have put up a numerical method based on the Euler method. This paper designs a new numerical method for solving uncertain differential equations via the widely-used Runge-Kutta method. Some examples are given to illustrate the effectiveness of the Runge-Kutta method when calculating the uncertainty distribution, expected value, extreme value, and time integral of solution of uncertain differential equations.

Subfields: Control and Systems Engineering, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/658edc47a024b5cf709abf5293704d9d584d8be4