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.

引用

页码：1295 / 1314

页数：20

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