Generalized quasilinearization of stochastic initial value problem

DOI10.1080/07362999508809391zbMATH Open0828.60047OpenAlexW2044607188MaRDI QIDQ4835283FDOQ4835283

Authors: F. A. McRae 

Publication date: 21 June 1995

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999508809391

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zbMATH Keywords

quadratic convergencequasilinearizationstochastic initial value problems

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Ordinary differential equations of infinite order (34A35)

Cites Work

• Random differential inequalities
• Methods of nonlinear analysis. Vol. II
• On the method of sample upper and lower solutions for stochastic differential equations

Cited In (8)

• Generalized quasi-linearization for a class of set control differential equations
• Improved generalized quasilinearization (GQL) method
• The linear quadratic problem for the Itô stochastic equation: an adaptive variant
• Existence and quasilinearization in Banach spaces
• Generalized quasilinearization method for nonlinear terminal value problems
• Extensions of the method of quasilinearization
• Title not available (Why is that?)
• Further improvement of generalized quasilinearization method

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