Shooting Methods for Numerical Solution of Stochastic Boundary-Value Problems
DOI10.1081/SAP-200026465zbMath1068.65012MaRDI QIDQ3158180
Armando Arciniega, Edward J. Allen
Publication date: 20 January 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
convergencenumerical resultsinitial value problemsboundary value problemEuler methodshooting methodItô stochastic differential equationsMilstein methodsystem of Stratonovich stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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