Numerical solution of boundary value problems for linear systems of stochastic differential equations (Q1571314)
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scientific article; zbMATH DE number 1473027
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of boundary value problems for linear systems of stochastic differential equations |
scientific article; zbMATH DE number 1473027 |
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Numerical solution of boundary value problems for linear systems of stochastic differential equations (English)
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24 October 2001
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The author represents the general relations that can be used to construct numerical methods for solving boundary value problems for systems of linear stochastic differential equations. Assumptions under which the boundary conditions are well posed are discussed. The connection of this boundary value problem with optimal control problems is determined. These results are illustrated by examples.
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stochastic differential equations
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boundary value problems
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numerical examples
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systems
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optimal control
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0.8801467418670654
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0.8505823612213135
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0.822530210018158
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