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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An Efficient Finite Difference Method for Stochastic Linear Second-Order Boundary-Value Problems Driven by Additive White Noises ⋮ Uniqueness in law for stochastic boundary value problems ⋮ Mean square convergence of the numerical solution of random differential equations ⋮ A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises ⋮ An adaptive algorithm for solving stochastic multi-point boundary value problems ⋮ Geometrically non-linear thermoelastic analysis of functionally graded shells using finite element method ⋮ Unnamed Item

Cites Work

• Linear stochastic differential equations with boundary conditions
• Boundary value problems for stochastic differential equations
• Second order stochastic differential equations with Dirichlet boundary conditions
• Numerical solution of SDE through computer experiments. Including floppy disk
• A change of variables formula for Stratonovich integrals and existence of solutions for two-points stochastic boundary value problems
• 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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