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Numerical Solution of Heun Equation Via Linear Stochastic Differential Equation
Authors: H. R. Rezazadeh, M. Maghasedi, B. Shojaee
Number of views: 581
In this paper, we intend to solve special kind of ordinary differential equations which is called
Heun equations, by converting to a corresponding stochastic differential equation(S.D.E.). So, we construct
a stochastic linear equation system from this equation which its solution is based on computing fundamental
matrix of this system and then, this S.D.E. is solved by numerically methods. Moreover, its asymptotic
stability and statistical concepts like expectation and variance of solutions are discussed. Finally, the attained
solutions of these S.D.E.s compared with exact solution of corresponding differential equations.