An adaptive algorithm for solving stochastic multi-point boundary value problems

DOI10.1007/S11075-016-0189-5MaRDI QIDQ6826744zbMATH OpenFDO

Authors Ali Foroush Bastani, Davood Damircheli

Publication date 12 April 2017

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11075-016-0189-5

zbMATH Keywords

adaptive time-steppingconvergencemulti-point boundary value problemsmultiple-shooting methodnumerical examplesoperator splittingstochastic differential equations

Mathematics Subject Classification ID

Nonlocal and multipoint boundary value problems for ordinary differential equations (34B10) Linear first-order PDEs (35F05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cited in

(3)

• An existence theorem for elliptic equations with nonlocal boundary conditions
• On Robin problems with infinite-point BCs
• Solution of stochastic boundary value problem in SDE using transition probability density function decomposition

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