Extension of the method of quasilinearization for stochastic initial value problems

DOI10.1155/S1048953395000062MaRDI QIDQ1890822zbMATH OpenOpenAlexFDO

Authors Nazeer Shahzad, F. A. McRae

Publication date 31 August 1995

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/47231

zbMATH Keywords

convergencestochastic initial value problem

Mathematics Subject Classification ID

Nonlinear ordinary differential equations and systems (34A34) Random operators and equations (aspects of stochastic analysis) (60H25)

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Cited in

(7)

• On the method of sample upper and lower solutions for stochastic differential equations
• Generalized quasilinearization of stochastic initial value problem
• scientific article; zbMATH DE number 687728 (Why is no real title available?)
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• Application and extension of the stochastic linearization by Anh and di Paola
• The linear quadratic problem for the Itô stochastic equation: an adaptive variant
• STOCHASTIC SOLUTION OF CAUCHY QUASILINEAR SCHEME AND ALVAREZ-LIONS-MOREL ANISOTROPIC DIFFUSION PDE

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