Numerical solution of boundary value problems for linear systems of stochastic differential equations

zbMath0971.65005MaRDI QIDQ1571314

N. Delaunay

Publication date: 24 October 2001

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

optimal controlsystemsnumerical examplesboundary value problemsstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Existence theories for optimal control problems involving ordinary differential equations (49J15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical solution of boundary value problems involving ordinary differential equations (65L10)

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