On Adaptive Multiple-Shooting Method for Stochastic Multi-Point Boundary Value Problems
| Autor: | Bastani, Ali Foroush, Damircheli, Davood |
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| Rok vydání: | 2013 |
| Předmět: | |
| Zdroj: | Numerical Algorithms, 2017 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1007/s11075-016-0189-5 |
| Popis: | This paper presents an adaptive multiple-shooting method to solve stochastic multi-point boundary value problems. The heuristic to choose the shooting points is based on separating the effects of drift and diffusion terms and comparing the corresponding solution components with a pre-specified initial approximation. Having obtained the mesh points, we solve the underlying stochastic differential equation on each shooting interval with a first-order strongly-convergent stochastic Runge-Kutta method. We illustrate the effectiveness of this approach on 1-dimentional and 2-dimentional test problems and compare our results with other non-adaptive alternative techniques proposed in the literature. Comment: 18 Pages, 2 figures |
| Databáze: | arXiv |
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