On Adaptive Multiple-Shooting Method for Stochastic Multi-Point Boundary Value Problems
Numerical Analysis
2017-07-05 v1
Abstract
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.
Cite
@article{arxiv.1301.4774,
title = {On Adaptive Multiple-Shooting Method for Stochastic Multi-Point Boundary Value Problems},
author = {Ali Foroush Bastani and Davood Damircheli},
journal= {arXiv preprint arXiv:1301.4774},
year = {2017}
}
Comments
18 Pages, 2 figures