Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems

DOI10.1080/07362990601052227MaRDI QIDQ3423703zbMATH OpenOpenAlexFDO

Authors 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

Broyden's methodItô and Stratonovich stochastic differential equationsnonlinear stochastic boundary-value problemsshooting methods

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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Cites work

• A change of variables formula for Stratonovich integrals and existence of solutions for two-points stochastic boundary value problems
• Boundary value problems for stochastic differential equations
• Expansion of the global error for numerical schemes solving stochastic differential equations
• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• scientific article; zbMATH DE number 3274421 (Why is no real title available?)
• scientific article; zbMATH DE number 970407 (Why is no real title available?)
• Linear stochastic differential equations with boundary conditions
• Numerical solution of SDE through computer experiments. Including floppy disk
• Rounding Error in Numerical Solution of Stochastic Differential Equations
• Second order stochastic differential equations with Dirichlet boundary conditions
• Shooting Methods for Numerical Solution of Stochastic Boundary-Value Problems

Cited in

(14)

• A stochastic local discontinuous Galerkin method for stochastic two-point boundary-value problems driven by additive noises
• Shooting methods for state-dependent impulsive boundary value problems, with applications
• A Rothe-modified shooting method for solving a nonlinear boundary value problem arising in particulate processes
• Shooting Methods for Numerical Solution of Stochastic Boundary-Value Problems
• Quadratic shooting solution for an environmental parameter prediction problem
• Geometrically nonlinear thermoelastic analysis of functionally graded shells using finite element method
• scientific article; zbMATH DE number 955451 (Why is no real title available?)
• Mean square convergence of the numerical solution of random differential equations
• A finite difference method for stochastic nonlinear second-order boundary-value problems driven by additive noisese
• scientific article; zbMATH DE number 970407 (Why is no real title available?)
• 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
• Time multipoint nonlocal problem for a stochastic Schrödinger equation
• Solution of stochastic boundary value problem in SDE using transition probability density function decomposition

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