Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems |
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| Authors: | Armando Arciniega |
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| Affiliation: | 1. Department of Mathematics , The University of Texas , San Antonio, Texas, USA armando.arciniega@utsa.edu |
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| Abstract: | ![]()
Abstract In the present investigation, shooting methods are described for numerically solving nonlinear stochastic boundary-value problems. These stochastic shooting methods are analogous to standard shooting methods for numerical solution of ordinary deterministic boundary-value problems. It is shown that the shooting methods provide accurate approximations. An error analysis is performed and computational simulations are described. |
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| Keywords: | Broyden's method Itô and Stratonovich stochastic differential equations Nonlinear stochastic boundary-value problems Shooting methods |
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