Shooting Methods for Numerical Solution of Stochastic Boundary-Value Problems

DOI10.1081/SAP-200026465zbMath1068.65012MaRDI QIDQ3158180

Armando Arciniega, Edward J. Allen

Publication date: 20 January 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

convergencenumerical resultsinitial value problemsboundary value problemEuler methodshooting methodItô stochastic differential equationsMilstein methodsystem of Stratonovich stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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