Sibirskii Zhurnal Vychislitel'noi Matematiki
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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2004, Volume 7, Number 4, Pages 345–361 (Mi sjvm170)  
Solution of boundary value problems for linear systems of stochastic differential equations

S. M. Prigarin, N. V. Fedchenko

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
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Abstract: The paper deals with methods to solve boundary value problems for linear systems of stochastic differential equations. We investigate numerical algorithms, the problem of existence and uniqueness of solutions, and other more specific problems (including steady-state boundary value problems, reduction of a boundary value problem to a Cauchy problem, extended boundary value problems, active and passive boundary conditions, etc.).
Key words: stochastic differential equations, boundary value problems, numerical algorithms, linear systems, existence and uniqueness of solutions, active and passive boundary conditions.
Received: 31.10.2003
Revised: 15.01.2004
Bibliographic databases:
UDC: 519.6
Language: Russian
Citation: S. M. Prigarin, N. V. Fedchenko, “Solution of boundary value problems for linear systems of stochastic differential equations”, Sib. Zh. Vychisl. Mat., 7:4 (2004), 345–361
Citation in format AMSBIB
\Bibitem{PriFed04}
\by S.~M.~Prigarin, N.~V.~Fedchenko
\paper Solution of boundary value problems for linear systems of stochastic differential equations
\jour Sib. Zh. Vychisl. Mat.
\yr 2004
\vol 7
\issue 4
\pages 345--361
\mathnet{http://mi.mathnet.ru/sjvm170}
\zmath{https://zbmath.org/?q=an:1068.65015}
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