A Numerical Analysis of Some First Order Stochastic Initial Value Problems

A Numerical Analysis of Some First Order Stochastic Initial Value Problems

A class of generally nonlinear stochastic initial value problems is considered. A numerical method is developed to compute the distribution function of the solution. A priori estimates are generated which demonstrate convergence, and an example is considered.

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Veröffentlicht in:SIAM journal on applied mathematics 1974-07, Vol.27 (1), p.167-179
Hauptverfasser: Kohler, Werner E., Boyce, William E.
Format: Artikel
Sprache:eng
Schlagworte:
A priori knowledge
Algorithms
Approximation
Brownian motion
Cauchy problem
Conditional probabilities
Distribution functions
Mathematics
Numerical analysis
Ordinary differential equations
Partial differential equations
Probabilities
Random variables
Stochastic models
Stochastic processes
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Beschreibung
Zusammenfassung:A class of generally nonlinear stochastic initial value problems is considered. A numerical method is developed to compute the distribution function of the solution. A priori estimates are generated which demonstrate convergence, and an example is considered.
ISSN:0036-1399
1095-712X
DOI:10.1137/0127014