Homotopy Continuation Methods for Stochastic Two-Point Boundary Value Problems Driven by Additive Noises
Year: 2014
Journal of Computational Mathematics, Vol. 32 (2014), Iss. 6 : pp. 630–642
Abstract
In this paper the homotopy continuation method for stochastic two-point boundary value problems driven by additive noises is studied. The existence of the solution of the homotopy equation is proved. Numerical schemes are constructed and error estimates are obtained. Numerical experiments demonstrate the effectiveness of the homotopy continuation method over other commonly used methods such as the shooting method.
You do not have full access to this article.
Already a Subscriber? Sign in as an individual or via your institution
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.1405-m4374
Journal of Computational Mathematics, Vol. 32 (2014), Iss. 6 : pp. 630–642
Published online: 2014-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 13
Keywords: Stochastic differential equations Homotopy method Shooting method.