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arXiv · 1301.4774

On Adaptive Multiple-Shooting Method for Stochastic Multi-Point Boundary Value Problems

Ali Foroush Bastani·Davood Damircheli
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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.

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Ali Foroush Bastani, Davood Damircheli. 2013-01-21. On Adaptive Multiple-Shooting Method for Stochastic Multi-Point Boundary Value Problems. https://doi.org/10.1007/s11075-016-0189-5

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