Homotopy Continuation Methods for Stochastic Two-Point Boundary Value Problems Driven by Additive Noises

DOI10.4208/jcm.1405-m4374zbMath1324.65002OpenAlexW2161832083MaRDI QIDQ5259965

Peng Wang, Yanzhao Cao, Xiao Shen Wang

Publication date: 29 June 2015

Published in: Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/jcm.1405-m4374

zbMATH Keywords

error estimatesnumerical experimentsstochastic differential equationstwo-point boundary value problemsshooting methodhomotopy continuation method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Global methods, including homotopy approaches to the numerical solution of nonlinear equations (65H20) Ordinary differential equations and systems with randomness (34F05) 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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