Shooting methods for numerical solution of stochastic boundary-value problems

被引：10
|
作者：
Arciniega, A [1 ]
Allen, E [1 ]
机构：
[1] Texas Tech Univ, Dept Math & Stat, Lubbock, TX 79409 USA
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2004年 / 22卷 / 05期
基金：
美国国家科学基金会;
关键词：
shooting methods; numerical solutions; stochastic boundary-value problems; Ito and Stratonovich stochastic differential equations;
D O I：
10.1081/SAP-200026465
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In the present investigation, numerical methods are developed for approximate solution of stochastic boundary-value problems. In particular, shooting methods are examined for numerically solving systems of Stratonovich boundary-value problems. It is proved that these methods accurately approximate the solutions of stochastic boundary-value problems. An error analysis of these methods is performed. Computational simulations are given.
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页码：1295 / 1314
页数：20
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