Numerical solution of boundary value problems for linear systems of stochastic differential equations

zbMath0971.65005MaRDI QIDQ1571314

N. Delaunay

Publication date: 24 October 2001

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

optimal control; systems; numerical examples; boundary value problems; stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

49J15: Existence theories for optimal control problems involving ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L10: Numerical solution of boundary value problems involving ordinary differential equations