Solving linear and quadratic random matrix differential equations: A mean square approach

In this paper linear and Riccati random matrix differential equations are solved taking advantage of the so called Lp-random calculus. Uncertainty is assumed in coefficients and initial conditions. Existence of the solution in the Lp-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.