Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems

DOI10.1080/07362990601052227zbMath1113.60063OpenAlexW2083683953MaRDI QIDQ3423703

Armando Arciniega

Publication date: 15 February 2007

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

Full work available at URL: https://doi.org/10.1080/07362990601052227

zbMATH Keywords

shooting methodsBroyden's methodItô and Stratonovich stochastic differential equationsnonlinear stochastic boundary-value problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Shooting Methods for Numerical Solution of Stochastic Boundary-Value Problems
• Rounding Error in Numerical Solution of Stochastic Differential Equations
• Expansion of the global error for numerical schemes solving stochastic differential equations

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